Stability and Existence of Diffusions with Discontinuous or Rapidly Growing Drift Terms,

Abstract

Stochastic differential equations whose drift terms do not satisfy the usual (Ito) Lipschitz or linear growth conditions in the state occur frequently as models in stochastic control theory. Local stability properties are useful for proving global existence for ordinary differential equations whose right hand sides grow too fast or are not Lipschitz in the state. Here, the author uses a local stochastic stability property to prove global existence, stability, ergodicity, the strong Markov and other properties, for a class of diffusions which occur frequently as models. (Author)

Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1971
Accession Number
AD0718150

Entities

People

  • R. J. Kushner

Organizations

  • Brown University

Tags

DTIC Thesaurus Topics

  • Control Theory
  • Differential Equations
  • Diffusion
  • Equations
  • Ergodic Processes
  • Fokker Planck Equations
  • Mathematical Analysis
  • Mathematics
  • Partial Differential Equations
  • Stochastic Control

Fields of Study

  • Mathematics

Readers

  • Economics
  • Mathematical Modeling and Probability Theory.