Articlegold2012

Strong solutions of jump-type stochastic equations

49 citations0/0 files storedElectronic Communications in Probability

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Stochastic processes and statistical mechanics

Abstract

We establish the existence and uniqueness ofstrong solutions to some jump-type stochastic equations under non-Lipschitz conditions. The results improve those of Fu and Li (2010) and Li and Mytnik (2011).

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References

1983Stochastic Differential Equations and Diffusion Processes 2005Theory of Stochastic Differential Equations with Jumps and Applications 2004Stochastic differential equations with jumps 2011Strong solutions for stochastic differential equations with jumps

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2018Jump type stochastic differential equations with non-Lipschitz coefficients: Non-confluence, Feller and strong Feller properties, and exponential ergodicity 2015Yamada-Watanabe Results for Stochastic Differential Equations with Jumps 2020Strong existence and uniqueness for stable stochastic differential equations with distributional drift

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