Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations
Sonja Cox, Martin Hutzenthaler & Arnulf Jentzen
Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations
Sonja Cox, Martin Hutzenthaler & Arnulf Jentzen
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Omschrijving
In this article we provide conditions on the coefficient functions of the stochastic differential equation and on p ? (0, ?] that are sufficient for local Lipschitz continuity in the strong Lp-sense with respect to the initial value and we establish explicit estimates for the local Lipschitz continuity constants.
Sonja Cox, University of Amsterdam, The Netherlands, Martin Hutzenthaler, University of Duisburg-Essen, Germany, and Arnulf Jentzen, The Chinese University of Hong Kong, Shenzhen, People's Republic of China, and University of Munster, Germany.
Sonja Cox, University of Amsterdam, The Netherlands, Martin Hutzenthaler, University of Duisburg-Essen, Germany, and Arnulf Jentzen, The Chinese University of Hong Kong, Shenzhen, People's Republic of China, and University of Munster, Germany.