Publication

Strong completeness of SDEs and non-explosion for RDEs with coefficients having unbounded derivatives

2025

Abstract

We establish a non-explosion result for rough differential equations (RDEs) in which the noise and drift coefficients, together with their derivatives, may grow unboundedly at infinity. In addition, we prove the existence of a global bi-continuous solution flow for stochastic differential equations (SDEs). Finally, the non-explosion results for RDEs are shown to be sharp by constructing counterexamples.

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2025

Abstract

Official source

Related concepts (15)

Stochastic differential equation

A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs have many applications throughout pure mathematics and are used to model various behaviours of stochastic models such as stock prices, random growth models or physical systems that are subjected to thermal fluctuations. SDEs have a random differential that is in the most basic case random white noise calculated as the derivative of a Brownian motion or more generally a semimartingale.

Nuclear explosion

A nuclear explosion is an explosion that occurs as a result of the rapid release of energy from a high-speed nuclear reaction. The driving reaction may be nuclear fission or nuclear fusion or a multi-stage cascading combination of the two, though to date all fusion-based weapons have used a fission device to initiate fusion, and a pure fusion weapon remains a hypothetical device. Nuclear explosions are used in nuclear weapons and nuclear testing.

Differential equation

In mathematics, a differential equation is an equation that relates one or more unknown functions and their derivatives. In applications, the functions generally represent physical quantities, the derivatives represent their rates of change, and the differential equation defines a relationship between the two. Such relations are common; therefore, differential equations play a prominent role in many disciplines including engineering, physics, economics, and biology.

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Strong completeness of SDEs and non-explosion for RDEs with coefficients having unbounded derivatives

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