paper

Stochastic differential equations with non-lipschitz coefficients: I. Pathwise uniqueness and large deviation

arXiv:math/0311032

Abstract

We study a class of stochastic differential equations with non-Lipschitzian coefficients.A unique strong solution is obtained and a large deviation principle of Freidln-Wentzell type has been established.

A short version will be published in C. R. Acad. Paris

Stochastic differential equations with non-lipschitz coefficients: I. Pathwise uniqueness and large deviation · wovepaper