1. Spatial asymptotic behavior of homeomorphic global flows for non-Lipschitz SDEs☆☆This work is supported by NSFC and SRF for ROCS, SEM
- Author
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Zongxia Liang
- Subjects
Lemma (mathematics) ,Pure mathematics ,GRR Lemma ,Mathematics(all) ,General Mathematics ,Multiplicative function ,Spatial growth rate ,Lipschitz continuity ,Stochastic homeomorphic flow ,Modulus of continuity ,Combinatorics ,Stochastic differential equation ,Flow (mathematics) ,Ergodic theory ,Non-Lipschitz conditions ,Ergodic process ,Mathematics - Abstract
Let x → ϕ s , t ( x ) be a R d -valued stochastic homeomorphic flow produced by non-Lipschitz stochastic differential equation ϕ s , t ( x ) = x + ∫ s t σ ( ϕ s , u ( x ) ) ⋅ d W u + ∫ s t b ( ϕ s , u ( x ) ) d u , where W = ( W 1 , W 2 , … ) is an infinite sequence of independent standard Brownian motions. We first give some estimates of modulus of continuity of { ϕ s , t ( ⋅ ) } , then prove that the flow ϕ s , t ( x ) , when x nears infinity, grows slower than Z exp { c ln ln | x | } for some constant c > 0 and integrable random variable Z via lemma of Garsia–Rodemich–Rumsey Lemma (abbreviated as GRR Lemma) improved by Arnold and Imkeller [L. Arnold, P. Imkeller, Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory, Stochastic Process. Appl. 62 (1996) 19–54] and moment estimates for one- and two-point motions.
- Published
- 2008
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