No label defined (Q4249749)

The author considers the stochastic differential equation of the form: \[ Y_t= \xi- \int^1_t U_sd(N_s- s)+ K_1- K_t,\tag{\(*\)} \] where \(N\) are standard Poisson processes with \({\mathcal F}= ({\mathcal F_t})_{0\leq t\leq 1}\) the \(\sigma\)-algebra family; \(\xi= 1_{\{N_1= 0\}}\) is random variable measurable with respect to the family \({\mathcal F}_1\); \(K\) are increasing processes; moreover \(Y_t= S_t\) for \(t\geq 0\) and \(S\) is defined by \[ S_t= 1_{[0,T]}(t)+ T{1-t\over 1-T}1_{[T,1]}(t), \] and \(T= \inf\{t>0: N_t\geq 1\}\vee 1\); \(Y\), \(U\) and \(K\) are processes adapted with filtration \({\mathcal F}\); the \(K\) are continuous; the processes \(Y\) satisfy the inequalities \(Y_t\geq S_t\) for \(t\leq 1\). The author proves that \((Y,U,K)\) are the solutions of the equation \((*)\). For the entire collection see [Zbl 0908.00011].