Strong solutions for stochastic differential equations with jumps

Zenghu Li; Leonid Mytnik

doi:10.1214/10-AIHP389

Strong solutions for stochastic differential equations with jumps

Zenghu Li, Leonid Mytnik

Data and Decision Sciences

Research output: Contribution to journal › Article › peer-review

Abstract

General stochastic equations with jumps are studied. We provide criteria for the uniqueness and existence of strong solutions under non-Lipschitz conditions of Yamada-Watanabe type. The results are applied to stochastic equations driven by spectrally positive Lévy processes.

Original language	English
Pages (from-to)	1055-1067
Number of pages	13
Journal	Annales de l'institut Henri Poincare (B) Probability and Statistics
Volume	47
Issue number	4
DOIs	https://doi.org/10.1214/10-AIHP389
State	Published - Nov 2011

Keywords

Non-Lipschitz condition
Pathwise uniqueness
Stochastic equation
Strong solution

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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title = "Strong solutions for stochastic differential equations with jumps",

abstract = "General stochastic equations with jumps are studied. We provide criteria for the uniqueness and existence of strong solutions under non-Lipschitz conditions of Yamada-Watanabe type. The results are applied to stochastic equations driven by spectrally positive L{\'e}vy processes.",

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KW - Pathwise uniqueness

KW - Stochastic equation

KW - Strong solution

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Strong solutions for stochastic differential equations with jumps

Abstract

Keywords

ASJC Scopus subject areas

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