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

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

2003-11-04

arxiv.org/abs/math/0311032v1

Mathematics

Probability

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

Scientific paper

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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