On one-dimensional stochastic differential equations driven by stable processes (Q5930989)

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scientific article; zbMATH DE number 1592276
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    On one-dimensional stochastic differential equations driven by stable processes
    scientific article; zbMATH DE number 1592276

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      On one-dimensional stochastic differential equations driven by stable processes (English)
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      17 February 2002
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      It is considered the one-dimensional stochastic differential equation \[ X_t= x+ \int^t_0 b(s, X_{s-}) dZ_s,\qquad t\geq 0,\tag{\(*\)} \] where \(Z\) is a symmetry \(\alpha\)-stable Lévy process with \(\alpha\in (1,2]\) and \(b\) is a Borel function. If for all \(t>0\) and \(R> 0\) \[ \int^t_0 \int^R_{-R} (|b(s,y)|^\alpha+|b(s,y)|^{-\alpha}) ds dy< \infty\quad\text{and}\quad\lambda\Biggl\{y: \sup_{0\leq s\leq t} |b(s, y)|< \infty\Biggr\}> 0, \] where \(\lambda\) denotes the Lebesgue measure, it is proved that for every \(x\in R^1\) there exists a weak nonexploding solution to \((*)\).
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      stochastic differential equation
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      weak solution
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      \(\alpha\)-stable Lévy process
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