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On strong solutions to countable systems of SDEs with interaction and non-Lipschitz drift
M. V. Tantsiura Institute of Mathematics, National Academy of sciences of Ukraine
Abstract:
A countable system of stochastic differential equations is considered. A theorem on existence and uniqueness of a strong solution is proved if drift and diffusion coefficients satisfy finite interaction radius condition.
Keywords:
Stochastic differential equation; strong solution; pathwise uniqueness; interacting particle system.
Citation:
M. V. Tantsiura, “On strong solutions to countable systems of SDEs with interaction and non-Lipschitz drift”, Theory Stoch. Process., 21(37):1 (2016), 91–101
Linking options:
https://www.mathnet.ru/eng/thsp124 https://www.mathnet.ru/eng/thsp/v21/i1/p91
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