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Nonexplosion and Pathwise Uniqueness of Stochastic Differential Equation Driven by Continuous Semimartingale with Non-Lipschitz Coefficients

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  • Jinxia Wang

Abstract

We study a class of stochastic differential equations driven by semimartingale with non-Lipschitz coefficients. New sufficient conditions on the strong uniqueness and the nonexplosion are derived for -dimensional stochastic differential equations on with non-Lipschitz coefficients, which extend and improve Fei’s results.

Suggested Citation

  • 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.
    • Handle: RePEc:hin:jjmath:105784
    DOI: 10.1155/2015/105784
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    References listed on IDEAS

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    1. Zhang, Xicheng, 2005. "Strong solutions of SDES with singular drift and Sobolev diffusion coefficients," Stochastic Processes and their Applications, Elsevier, vol. 115(11), pages 1805-1818, November.
    2. 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.
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