非Lipschitz系数随机微分方程解的轨道唯一性和非爆炸性

Pathwise Uniqueness and Non-Explosion of SDEs with non-Lipschitzian Coefficients

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摘要得到了d维(d≥2)非Lipschitz系数且时间依赖的随机微分方程解的轨道唯一性和非爆炸性的新的充分条件,该条件推广且改进了Fang,Zhang和Yamada,Watanabe的结果,并且在某种意义下该结果是最优的. New sufficient conditions on the strong uniqueness and the non-explosion are derived for d dimensional stochastic differential equations on R^d （d ≥ 2） with nonLipschitzian and time dependent coefficients, which extend and improve Fang, Zhang＇s and Yamada, Watanabe＇s results, and the new conditions are sharp in a sense.

作者兰光强

机构地区北京化工大学理学院北京师范大学数学科学学院

出处《数学学报（中文版）》 SCIE CSCD 北大核心 2009年第4期731-736,共6页 Acta Mathematica Sinica：Chinese Series

基金国家自然科学基金资助项目(10121101 10025105 10101003) 北京化工大学青年基金资助项目

关键词随机微分方程轨道唯一性非爆炸性非LIPSCHITZ条件 stochastic differential equations pathwise uniqueness non-explosion non- Lipschitzian conditions

分类号 O211.6 [理学—概率论与数理统计]

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数学学报（中文版）

2009年第4期

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非Lipschitz系数随机微分方程解的轨道唯一性和非爆炸性

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