A norm equivalence result for stochastic differential equations with locally Lipschitz coefficients
Abstract
We establish two-sided weighted integrability estimates, often referred to as a norm equivalence result, for stochastic differential equations (SDEs) with locally Lipschitz coefficients. As a key ingredient in our approach, we also derive an SDE satisfied by the inverse stochastic flow under reduced regularity assumptions in the globally Lipschitz setting.
Fields of Study & Subjects
Stochastic processes and financial applications
Nonlinear Differential Equations Analysis
Geometric Analysis and Curvature Flows
Publication details
- Journal / source
- arXiv (Cornell University)
- Publication date
- 13 January 2026
- Document type
- Preprint