IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v118y2008i12p2254-2268.html
   My bibliography  Save this article

Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps

Author

Listed:
  • Qiao, Huijie
  • Zhang, Xicheng

Abstract

In this paper we study the continuity property as well as the homeomorphism property for the solutions of multidimensional stochastic differential equations with jumps and non-Lipschitz coefficients with respect to the initial values.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:12:p:2254-2268
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(07)00218-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wu, Bo & Wu, Jiang-Lun, 2018. "Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 133(C), pages 71-79.
    2. Frank Bosserhoff & Mitja Stadje, 2019. "Robustness of Delta Hedging in a Jump-Diffusion Model," Papers 1910.08946, arXiv.org, revised Apr 2022.
    3. 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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. Frank Bosserhoff & Mitja Stadje, 2019. "Robustness of Delta Hedging in a Jump-Diffusion Model," Papers 1910.08946, arXiv.org, revised Apr 2022.
    3. 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.
    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. 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.
    6. 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.
    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.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:118:y:2008:i:12:p:2254-2268. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.