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EULER SCHEME AND MEASURABLE FLOWS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS

EULER SCHEME AND MEASURABLE FLOWS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS
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摘要 For a stochastic differential equation with non-Lipschitz coefficients, we construct, by Euler scheme, a measurable flow of the solution, and we prove the solution is a Markov process. For a stochastic differential equation with non-Lipschitz coefficients, we construct, by Euler scheme, a measurable flow of the solution, and we prove the solution is a Markov process.
作者 王志明
机构地区 College of Science
出处 《Acta Mathematica Scientia》 SCIE CSCD 2018年第1期157-168,共12页 数学物理学报（B辑英文版）
关键词 stochastic differential equation Euler scheme measurable flow Markov property NON-LIPSCHITZ stochastic differential equation Euler scheme measurable flow Markov property non-Lipschitz
分类号 O [理学]
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Acta Mathematica Scientia
2018年 第1期

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