Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps

Huijie Qiao; Xicheng Zhang

doi:10.1016/j.spa.2007.12.006

Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps

Huijie Qiao, Xicheng Zhang^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

17 Citations (Scopus)

Abstract

In this paper we study the continuity property as well as the homeomorphism property for the solutions of multidimensional stochastic differential equations with jumps and non-Lipschitz coefficients with respect to the initial values.

Original language	English
Pages (from-to)	2254-2268
Number of pages	15
Journal	Stochastic Processes and their Applications
Volume	118
Issue number	12
DOIs	https://doi.org/10.1016/j.spa.2007.12.006
Publication status	Published - Dec 2008
Externally published	Yes

Keywords

Exponential martingale
Homeomorphism flow
Non-Lipschitz
SDEs with jumps

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10.1016/j.spa.2007.12.006

Cite this

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title = "Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps",

abstract = "In this paper we study the continuity property as well as the homeomorphism property for the solutions of multidimensional stochastic differential equations with jumps and non-Lipschitz coefficients with respect to the initial values.",

keywords = "Exponential martingale, Homeomorphism flow, Non-Lipschitz, SDEs with jumps",

author = "Huijie Qiao and Xicheng Zhang",

year = "2008",

month = dec,

doi = "10.1016/j.spa.2007.12.006",

language = "English",

volume = "118",

pages = "2254--2268",

journal = "Stochastic Processes and their Applications",

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T1 - Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps

AU - Qiao, Huijie

AU - Zhang, Xicheng

PY - 2008/12

Y1 - 2008/12

N2 - In this paper we study the continuity property as well as the homeomorphism property for the solutions of multidimensional stochastic differential equations with jumps and non-Lipschitz coefficients with respect to the initial values.

AB - In this paper we study the continuity property as well as the homeomorphism property for the solutions of multidimensional stochastic differential equations with jumps and non-Lipschitz coefficients with respect to the initial values.

KW - Exponential martingale

KW - Homeomorphism flow

KW - Non-Lipschitz

KW - SDEs with jumps

UR - http://www.scopus.com/inward/record.url?scp=55849145563&partnerID=8YFLogxK

U2 - 10.1016/j.spa.2007.12.006

DO - 10.1016/j.spa.2007.12.006

M3 - Article

AN - SCOPUS:55849145563

SN - 0304-4149

VL - 118

SP - 2254

EP - 2268

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 12

ER -

Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps

Abstract

Keywords

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