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arXiv · 2403.09778

Existence and uniqueness for the solutions of non-autonomous stochastic differential algebraic equations with locally Lipschitz coefficients

Oana Silvia Serea·Antoine Tambue·Guy Tsafack
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Abstract

In this paper, we study the well-posedness and regularity of non-autonomous stochastic differential algebraic equations (SDAEs) with nonlinear, locally Lipschitz and monotone (2) coefficients of the form (1). The main difficulty is the fact that the operator A(.) is non-autonomous, i.~e. depends on t and the matrix $A(t)$ is singular for all $t\in \left[0,T\right]$. Our interest is in SDAE of index-1. This means that in order to solve the problem, we can transform the initial SDAEs into an ordinary stochastic differential equation with algebraic constraints. Under appropriate hypothesizes, the main result establishes the existence and uniqueness of the solution in $\mathcal{M}^p(\left[0, T\right], \mathbb{R}^n)$, $p\geq 2$, $p\in \mathbb{N}$. Several strong estimations and regularity results are also provided. Note that, in this paper, we use various techniques such as Itô's lemma, Burkholder-Davis-Gundy inequality, and Young inequality.

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Oana Silvia Serea, Antoine Tambue, Guy Tsafack. 2024-03-14. Existence and uniqueness for the solutions of non-autonomous stochastic differential algebraic equations with locally Lipschitz coefficients. https://arxiv.org/abs/2403.09778

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