Articles

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

  • Zhiming WANG
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  • College of Science, Wuhan University of Science and Technology, Wuhan 430081, China

Received date: 2016-12-07

  Revised date: 2017-03-04

  Online published: 2018-02-25

Abstract

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.

Cite this article

Zhiming WANG . EULER SCHEME AND MEASURABLE FLOWS FOR STOCHASTIC DIFFERENTIAL EQUATIONS WITH NON-LIPSCHITZ COEFFICIENTS[J]. Acta mathematica scientia, Series B, 2018 , 38(1) : 157 -168 . DOI: 10.1016/S0252-9602(17)30123-6

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