Stochastic lipschitz coefficient

Results 101 to 110 of about 932 (203)

On the existence and uniqueness of solutions to stochastic equations in infinite dimension with integral-Lipschitz coefficients

Kyoto Journal of Mathematics, 2002
Let $H$ be a separable Hilbert space, $A$ an infinitesimal generator of a $C_0$-semigroup in $H$, $x\in H$ and $B$ a cylindrical Hilbert space-valued Brownian motion. The authors study the stochastic differential equation (SDE) \[ dX_t= (AX_t+ b(t, X_t))\,dt+ \sigma(t, X_t)\,dW_t,\;t\geq 0,\;X_0= x \] for non-Lipschitz coefficients.
Hu, Ying, Lerner, Nicolas
openaire +3 more sources

Invariant measures for stochastic heat equations with unbounded coefficients

, 2003
The paper deals with the Cauchy problem in Rd of a stochastic heat equation ∂u/∂t=λΔu+f(u)+σ(u)Ẇ. The locally lipschitz drift coefficient f can have polynomial growth while the diffusion coefficient σ is supposed to be lipschitz but not necessarily ...
Manthey, Ralf, Assing, Sigurd
core +1 more source

Explicit numerical schemes of SDEs driven by Lévy Noise with super-linear coeffcients and their application to delay equations

, 2015
We investigate an explicit tamed Euler scheme of stochastic differential equation with random coefficients driven by Lévy noise, which has super-linear drift coefficient.
Kumar, Chaman
core

Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps

, 2017
In the present work, the tamed Euler method is proven to be strongly convergent for stochastic differential equations with piecewise continuous arguments and Poisson jumps, where the diffusion and jump coefficients are globally Lipschitz ...
Mingzhu Liu, Minghui Song, Huizi Yang, Hong Wang +3 more
core +1 more source

On the Well-Posedness of Stochastic Partial Differential Equations with Locally Lipschitz Coefficients

Journal of Theoretical Probability
Abstract We consider the stochastic partial differential equation (SPDE) $$\begin{aligned} \partial _t u = \tfrac{1}{2} \partial ^2_x u + b(u) + \sigma (u) \dot{W}, \end{aligned}$$
Foondun, Mohammud, Khoshnevisan, Davar, Nualart, Eulalia +2 more
openaire +2 more sources

Fractional backward stochastic variational inequalities with non-Lipschitz coefficient

Brazilian Journal of Probability and Statistics, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources

Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence

, 2008
International audienceWe consider one-dimensional stochastic differential equations in the particular case of diffusion coefficient functions of the form |x|^a, a in [1/2,1).
Berkaoui, Abdel, Bossy, Mireille, Diop, Awa +2 more
core

Approximate solution for a class of stochastic differential equation driven by stable processes

, 2023
In this paper we consider a general class of stochastic differential equations driven by stable processes with Lipschitz drift coefficients and non-Lipschitz diffusion coefficients.
Manou-Abi, Solym
core

Stochastic heat equation with rough dependence in space

, 2017
This paper studies the nonlinear one-dimensional stochastic heat equation driven by a Gaussian noise which is white in time and which has the covariance of a fractional Brownian motion with Hurst parameter H∈(¼,½) in the space variable. The existence and
Nualart, David +9 more
core +1 more source

Backward stochastic differential equations with a uniformly continuous generator and related g-expectation

, 2010
In this paper, we will study a class of backward stochastic differential equations (BSDEs for short), for which the generator (coefficient) g(t,y,z) is Lipschitz continuous with respect to y and uniformly continuous with respect to z.
Jia, Guangyan, Guangyan Jia
core +1 more source

strong convergence