Quasi-invariance of Lebesgue measure under the homeomorphic flow generated by SDE with non-Lipschitz coefficient |
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Authors: | Dejun Luo |
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Affiliation: | Institute of Applied Mathematics, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China |
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Abstract: | We consider the stochastic flow generated by Stratonovich stochastic differential equations with non-Lipschitz drift coefficients. Based on the author's previous works, we show that if the generalized divergence of the drift is bounded, then the Lebesgue measure on Rd is quasi-invariant under the action of the stochastic flow, and the explicit expression of the Radon-Nikodym derivative is also presented. Finally we show in a special case that the unique solution of the corresponding Fokker-Planck equation is given by the density of the stochastic flow. |
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Keywords: | Stochastic flow Stochastic differential equation Quasi-invariance of measure Non-Lipschitz condition Fokker-Planck equation |
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