NON-LIPSCHITZ STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY MULTI-PARAMETER BROWNIAN MOTIONS
2006 ◽
Vol 06
(03)
◽
pp. 329-340
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Keyword(s):
By proving an extension of nonlinear Bihari's inequality (including Gronwall's inequality) to multi-parameter and non-Lebesgue measure, in this paper we first prove by successive approximation the existence and uniqueness of solution of stochastic differential equation with non-Lipschitz coefficients and driven by multi-parameter Brownian motion. Then we study two discretizing schemes for this type of equation, and obtain their L2-convergence speeds.
2020 ◽
Vol 28
(2)
◽
pp. 113-122
2013 ◽
Vol 14
(01)
◽
pp. 1350007
◽
1999 ◽
Vol 22
(2)
◽
pp. 271-279
◽