On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients (Q2496606)

The authors present a method for representing explicitly strong solutions of stochastic differential equations (SDEs) driven by Lévy processes. This method also provides criteria for the existence of strong solutions of a certain class of SDEs whose coefficients are not Lipschitz continuous. More precisely, using white noise concepts for Lévy processes, the authors adapt ideas from \textit{A. Lanconelli} and \textit{F. Proske} [Infin. Dimens. Anal. Quantum Probab. 7, No. 3, 437-447 (2004; Zbl 1050.60065)] to Lévy-Itô diffusions, i.e., jump diffusions of the type \[ dY_{t}=b\left( Y_{t-}\right) dt+\sigma \left( Y_{t-}\right) dB_{t}+\gamma \left( Y_{t-}\right) dL_{t},\;Y_{0}=y,\quad 0\leq t\leq T, \] where \(b,\sigma ,\gamma :\mathbb{R}\rightarrow \mathbb R\) are measurable functions, \( B_{t}\) is a Brownian motion, and \(L_{t}\) a pure jump Lévy process.