No label defined (Q4940251)

The author considers the following stochastic integral equation \[ \xi(t)=h(t)+\int_0^{t}a(t,s,\xi) d\alpha(s)+ \int_0^{t}b(t,s,\xi) d\beta(s) +\int_0^{t}\int c(t,s,\xi,\theta) \nu(ds,d\theta), \tag{1} \] \(t\geq 0.\) Let \((\Omega,{\mathcal F},({\mathcal F}_{t})_{t\geq 0},P)\) be a filtered probability space, let \({\mathcal B}\) be the \(\sigma\)-algebra of predictable sets from \(R_+\times\Omega.\) Let \(\alpha=(\alpha(t),t\geq 0)\) be an \(R^{m_1}\)-valued \(({\mathcal F}_{t},t\geq 0)\)-adapted continuous process, let \(\beta=(\beta(t),t\geq 0)\) be an \(R^{m_2}\)-valued continuous local \(({\mathcal F}_{t},t\geq 0)\)-martingale. Let \(\nu=\nu(ds,d\theta)\) be a local \(({\mathcal F}_{t},t\geq 0)\)-martingale measure on \(R_+\times R_0^{m_3}\), \(R_0^{m_3}= R^{m_3}\setminus\{ 0\}\), with a continuous characteristic \({\overline\nu}\). Let \(h\) be the \(({\mathcal F}_{t},t\geq 0)\)-adapted process with trajectories in the space of right-continuous functions \((D)\). The \(R^{d\times m_1}\)-valued function \(a(t,s,\omega,x)\), the \(R^{d\times m_2}\)-valued function \(b(t,s,\omega,x)\) and the \(R^{d}\)-valued function \(c(t,s,\omega,x,\theta)\) are assumed to be defined for \(t,s\in R_+\), \(\omega\in\Omega\), \(x\in D\), \(\theta\in R_0^{m_3}.\) The author presents sufficient conditions which guarantee the existence of continuous and right-continuous modifications of stochastic integrals with respect to a continuous local martingale and a local martingale measure with continuous characteristic. The author finds conditions for existence and uniqueness of strong solutions and existence of weak solutions to the stochastic equation (1).