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Local Lipschitz continuity in the initial value and strong completeness for nonlinear stochastic differential equations

by S. Cox and M. Hutzenthaler and A. Jentzen

(Report number 2013-35)

Abstract
Recently, Hairer et. al (2012) showed that there exist SDEs with infinitely often differentiable and globally bounded coefficient functions whose solutions fail to be locally Lipschitz continuous in the strong L^p-sense with respect to the initial value for every p \in [1,\infty). In this article we provide sufficient conditions on the coefficient functions of the SDE and on p \in (0,\infty] which ensure local Lipschitz continuity in the strong L^p-sense with respect to the initial value and we establish explicit estimates for the local Lipschitz continuity constants. In particular, we prove local Lipschitz continuity in the initial value for several nonlinear SDEs from the literature such as the stochastic van der Pol oscillator, Brownian dynamics, the Cox-Ingersoll-Ross processes and the Cahn-Hilliard-Cook equation. As an application of our estimates, we obtain strong completeness for several nonlinear SDEs.

Keywords: nonlinear stochastic differential equations, nonlinear SDE, initial value regularity

@Techreport{CHJ13_532,
  author = {S. Cox and M. Hutzenthaler and A. Jentzen},
  title = {Local Lipschitz continuity in the initial value and strong completeness for nonlinear stochastic differential equations},
  institution = {Seminar for Applied Mathematics, ETH Z{\"u}rich},
  number = {2013-35},
  address = {Switzerland},
  url = {https://www.sam.math.ethz.ch/sam_reports/reports_final/reports2013/2013-35.pdf },
  year = {2013}
}

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