A class of degenerate stochastic differential equations with non-Lipschitz coefficients
DSpace at IIT Bombay
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Title |
A class of degenerate stochastic differential equations with non-Lipschitz coefficients
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Creator |
KUMAR, KS
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Subject |
Degenerate SDEs
non-Lipschitz coefficients comparison theorems CHAINS |
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Description |
We obtain sufficient condition for SDEs to evolve in the positive orthant. We use arguments based on comparison theorems for SDEs to achieve this. As an application we prove the existence of a unique strong solution for a class of multidimensional degenerate SDEs with non-Lipschitz diffusion coefficients.
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Publisher |
INDIAN ACAD SCIENCES
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Date |
2014-10-16T05:47:07Z
2014-10-16T05:47:07Z 2013 |
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Type |
Article
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Identifier |
PROCEEDINGS OF THE INDIAN ACADEMY OF SCIENCES-MATHEMATICAL SCIENCES, 123(3)443-454
http://dx.doi.org/10.1007/s12044-013-0141-8 http://dspace.library.iitb.ac.in/jspui/handle/100/15374 |
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Language |
en
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