Quasi-invariance of Lebesgue measure under the homeomorphic flow generated by SDE with non-Lipschitz coefficient
文献类型：期刊论文
| 作者 | Luo, Dejun
|
| 刊名 | BULLETIN DES SCIENCES MATHEMATIQUES
 |
| 出版日期 | 2009-04-01 |
| 卷号 | 133期号:3页码:205-228 |
| 关键词 | Stochastic flow Stochastic differential equation Quasi-invariance of measure Non-Lipschitz condition Fokker-Planck equation |
| ISSN号 | 0007-4497 |
| DOI | 10.1016/j.bulsci.2009.01.002 |
| 英文摘要 | We consider the stochastic flow generated by Stratonovich stochastic differential equations with non-Lipschitz drift coefficients. Based on the author's previous works, we show that if the generalized divergence of the drift is bounded, then the Lebesgue measure on R(d) is quasi-invariant under the action of the stochastic flow, and the explicit expression of the Radon-Nikodym derivative is also presented. Finally we show in a special case that the unique solution of the corresponding Fokker-Planck equation is given by the density of the stochastic flow. (C) 2009 Elsevier Masson SAS. All rights reserved. |
| 语种 | 英语 |
| WOS记录号 | WOS:000265475000001 |
| 出版者 | GAUTHIER-VILLARS/EDITIONS ELSEVIER |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/8902]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Luo, Dejun |
| 作者单位 | Chinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Luo, Dejun. Quasi-invariance of Lebesgue measure under the homeomorphic flow generated by SDE with non-Lipschitz coefficient[J]. BULLETIN DES SCIENCES MATHEMATIQUES,2009,133(3):205-228. |
| APA | Luo, Dejun.(2009).Quasi-invariance of Lebesgue measure under the homeomorphic flow generated by SDE with non-Lipschitz coefficient.BULLETIN DES SCIENCES MATHEMATIQUES,133(3),205-228. |
| MLA | Luo, Dejun."Quasi-invariance of Lebesgue measure under the homeomorphic flow generated by SDE with non-Lipschitz coefficient".BULLETIN DES SCIENCES MATHEMATIQUES 133.3(2009):205-228. |
入库方式： OAI收割
来源：数学与系统科学研究院
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