Journal article 1176 views 116 downloads
Integrability conditions for SDEs and semilinear SPDEs
Feng-yu Wang
The Annals of Probability, Volume: 45, Issue: 5, Pages: 3223 - 3265
Swansea University Author: Feng-yu Wang
-
PDF | Accepted Manuscript
Download (484.22KB)
DOI (Published version): 10.1214/16-AOP1135
Abstract
By using the local dimension-free Harnack inequality established on incompleteRiemannian manifolds, integrability conditions on the coecients are presented forSDEs to imply the non-explosion of solutions as well as the existence, uniqueness andregularity estimates of invariant probability measures....
| Published in: | The Annals of Probability |
|---|---|
| ISSN: | 0091-1798 |
| Published: |
2017
|
| Online Access: |
Check full text
|
| URI: | https://cronfa.swan.ac.uk/Record/cronfa32035 |
| Abstract: |
By using the local dimension-free Harnack inequality established on incompleteRiemannian manifolds, integrability conditions on the coecients are presented forSDEs to imply the non-explosion of solutions as well as the existence, uniqueness andregularity estimates of invariant probability measures. These conditions include a classof drifts unbounded on compact domains such that the usual Lyapunov conditions cannot be veried. The main results are extended to second order dierential operatorson Hilbert spaces and semi-linear SPDEs. |
|---|---|
| Keywords: |
Non-explosion, invariant probability measure, local Harnack inequality, SDE, SPDE. |
| College: |
Faculty of Science and Engineering |
| Issue: |
5 |
| Start Page: |
3223 |
| End Page: |
3265 |