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Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients

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  • Zhang, Xicheng

Abstract

In this paper, we study the homeomorphic property of solutions of multi-dimensional stochastic differential equations with non-Lipschitz coefficients.

Suggested Citation

  • Zhang, Xicheng, 2005. "Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 115(3), pages 435-448, March.
    • Handle: RePEc:eee:spapps:v:115:y:2005:i:3:p:435-448
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    Citations

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    Cited by:

    1. Jinxia Wang, 2015. "Nonexplosion and Pathwise Uniqueness of Stochastic Differential Equation Driven by Continuous Semimartingale with Non-Lipschitz Coefficients," Journal of Mathematics, Hindawi, vol. 2015, pages 1-5, May.
    2. Luo, Dejun, 2008. "Isotropic stochastic flow of homeomorphisms on associated with the critical Sobolev exponent," Stochastic Processes and their Applications, Elsevier, vol. 118(8), pages 1463-1488, August.
    3. Qiao, Huijie & Zhang, Xicheng, 2008. "Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2254-2268, December.
    4. Zhang, Xicheng, 2010. "Stochastic flows and Bismut formulas for stochastic Hamiltonian systems," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 1929-1949, September.
    5. Qiao, Huijie & Zhang, Xicheng, 2007. "Homeomorphism of solutions to backward SDEs and applications," Stochastic Processes and their Applications, Elsevier, vol. 117(3), pages 399-408, March.
    6. Frank Bosserhoff & Mitja Stadje, 2019. "Robustness of Delta Hedging in a Jump-Diffusion Model," Papers 1910.08946, arXiv.org, revised Apr 2022.
    7. Dejun Luo, 2015. "Quasi-invariance of the Stochastic Flow Associated to Itô’s SDE with Singular Time-Dependent Drift," Journal of Theoretical Probability, Springer, vol. 28(4), pages 1743-1762, December.
    8. Xu, Jie & Wen, Jiaping & Mu, Jianyong & Liu, Jicheng, 2019. "Stochastic flows of SDEs with non-Lipschitz coefficients and singular time," Statistics & Probability Letters, Elsevier, vol. 148(C), pages 118-127.

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