Order preservation for multidimensional stochastic functional differential equations with jumps (Q2249907)

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Order preservation for multidimensional stochastic functional differential equations with jumps
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    Order preservation for multidimensional stochastic functional differential equations with jumps (English)
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    4 July 2014
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    The aim of the paper is to give an order preserving criterion for stochastic functional differential equations on \(\mathbb R^d\) with non-Lipschitz coefficients. The results of this paper have a rather broad range of applications compared to the existing comparison results. A standard tool to prove the main result of this paper is an approximation theorem the role of which is the same as the Tanaka-type formula. Then, to prove the existence, the authors approximate the original equation by those with Lipschitz coefficients and construct a sequence of strong approximate solutions which is shown to be convergent to the solution of the system of equations \[ dX(t)= b(t, X_t)dt + \sigma (t, X_t)dB(t) +\int_{E} \gamma (t, X_{t-}, z)N(dt, dz), \] and \[ d\bar{X}(t)= \bar{b}(t,\bar{ X}_t)dt + \bar{\sigma} (t, \bar{X}_t)dB(t) +\int_{E} \bar{\gamma} (t, \bar{X}_{t-}, z)N(dt, dz). \]
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    order preservation
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    comparison theorem
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    stochastic functional differential equation
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