Strong completeness for a class of stochastic differential equations with irregular coefficients∗
نویسندگان
چکیده
We prove the strong completeness for a class of non-degenerate SDEs, whose coefficients are not necessarily uniformly elliptic nor locally Lipschitz continuous nor bounded. Moreover, for each p > 0 there is a positive number T (p) such that for all t < T (p), the solution flow Ft(·) belongs to the Sobolev space W 1,p loc . The main tool for this is the approximation of the associated derivative flow equations. As an application a differential formula is also obtained.
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تاریخ انتشار 2014