Stochastic functional differential equations driven by Lévy processes and quasi-linear partial integro-differential equations (Q1931326): Difference between revisions

From the author's abstract: We study a class of stochastic functional differential equations driven by Lévy processes (in particular, \(\alpha\)-stable processes), and obtain the existence and uniqueness of Markov solutions in small time intervals. This corresponds to the local solvability of a class of quasi-linear partial integro-differential equations. Moreover, in the case of constant diffusion coefficients, without any assumptions on the Levy generator, we also show the existence of a unique maximal weak solution for a class of semi-linear partial integro-differential equation systems under bounded Lipschitz assumptions on the coefficients. Meanwhile, in the nondegenerate case (corresponding to \(\Delta^{\alpha/2}\) with \(\alpha \in (1,2])\), based upon some gradient estimates, the existence of global solutions is established, too. In particular, this provides a probabilistic treatment of nonlinear partial integro-differential equations, such as the multi-dimensional fractal Burgers equations and the fractal scalar conservation law equations.