The Annals of Probability

Spatial estimates for stochastic flows in Euclidean space

Salah-Eldin A. Mohammed and Michael K. R. Scheutzow

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Abstract

We study the behavior for large $|x|$ of Kunita-type stochastic flows $\phi(t, \omega x)$ on $R^d$, driven by continuous spatial semimartingales. For this class of flows we prove new spatial estimates for large $|x|$, under very mild regularity conditions on the driving semimartingale random field. It is expected that the results would be of interest for the theory of stochastic flows on noncompact manifolds as well as in the study of nonlinear filtering, stochastic functional and partial differential equations. Some examples and counterexamples are given.

Article information

Source
Ann. Probab., Volume 26, Number 1 (1998), 56-77.

Dates
First available in Project Euclid: 31 May 2002

Permanent link to this document
https://projecteuclid.org/euclid.aop/1022855411

Digital Object Identifier
doi:10.1214/aop/1022855411

Mathematical Reviews number (MathSciNet)
MR1617041

Zentralblatt MATH identifier
0937.60056

Subjects
Primary: 60H10: Stochastic ordinary differential equations [See also 34F05] 60H20: Stochastic integral equations
Secondary: 60H25: Random operators and equations [See also 47B80]

Keywords
Stochastic flow spacial semimartingale local characteristics quadratic variation stochastic differential equation (s.d.e.)

Citation

Mohammed, Salah-Eldin A.; Scheutzow, Michael K. R. Spatial estimates for stochastic flows in Euclidean space. Ann. Probab. 26 (1998), no. 1, 56--77. doi:10.1214/aop/1022855411. https://projecteuclid.org/euclid.aop/1022855411


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  • CARBONDALE, ILLINOIS 62901 STRASSE DES 17 JUNI 136 E-MAIL: salah@math.siu.edu D-10623 BERLIN WEB PAGE: http: salah.math.siu.edu GERMANY E-MAIL: ms@math.tu-berlin.de