Stochastic differential equations with non-lipschitz coefficients: I. Pathwise uniqueness and large deviation

2003/11/04 by Shizan Fang, Tusheng Zhang, Fang, Shizan +1
Mathematics · #60H10 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60H10

paper · pdf · doi:10.48550/arxiv.math/0311032

A short version will be published in C. R. Acad. Paris

arxiv created 2003/11/04 · arxiv updated 2009/12/01

Abstract

We study a class of stochastic differential equations with non-Lipschitzian coefficients.A unique strong solution is obtained and a large deviation principle of Freidln-Wentzell type has been established.

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