Spatial asymptotic behavior of homeomorphic global flows for non-Lipschitz SDEs |
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Authors: | Zongxia Liang |
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Institution: | Department of Mathematical Sciences, Tsinghua University, Beijing 100084, China |
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Abstract: | Let x→?s,t(x) be a -valued stochastic homeomorphic flow produced by non-Lipschitz stochastic differential equation , where W=(W1,W2,…) is an infinite sequence of independent standard Brownian motions. We first give some estimates of modulus of continuity of {?s,t(⋅)}, then prove that the flow ?s,t(x), when x nears infinity, grows slower than 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. |
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Keywords: | primary 60H10 34F05 secondary 60G17 37C10 34K25 |
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