Jump type stochastic differential equations with non-Lipschitz coefficients: non-confluence, Feller and strong Feller properties, and exponential ergodicity
From MaRDI portal
Publication:1720281
DOI10.1016/j.jde.2018.10.006zbMath1442.60063arXiv1706.01393OpenAlexW2963833910MaRDI QIDQ1720281
Publication date: 8 February 2019
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.01393
Feynman-Kac formulairreducibilitypathwise uniquenessexponential ergodicitynon-confluenceFeller and strong Feller properties
Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Jump processes on discrete state spaces (60J74)
Related Items
A CLT for degenerate diffusions with periodic coefficients, and application to homogenization of linear PDEs, Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients, Stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients, Subexponential upper and lower bounds in Wasserstein distance for Markov processes, Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients, The most probable transition paths of stochastic dynamical systems: a sufficient and necessary characterisation, On the limit distribution for stochastic differential equations driven by cylindrical non-symmetric α-stable Lévy processes, A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion, Foreign exchange options on Heston-CIR model under Lévy process framework, Hamiltonian systems with Lévy noise: symplecticity, Hamilton's principle and averaging principle, On Λ-Fleming–Viot processes with general frequency-dependent selection, Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations, On \(L^p\)-strong convergence of an averaging principle for non-Lipschitz slow-fast systems with Lévy noise, Derivative formula for the Feynman-Kac semigroup of SDEs driven by rotationally invariant \(\alpha\)-stable process, On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes, The Onsager–Machlup function as Lagrangian for the most probable path of a jump-diffusion process, Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk, A data-driven approach for discovering stochastic dynamical systems with non-Gaussian Lévy noise
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Yamada-Watanabe results for stochastic differential equations with jumps
- Pathwise uniqueness for singular SDEs driven by stable processes
- Strong solutions of jump-type stochastic equations
- Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients
- Coupling for Ornstein-Uhlenbeck processes with jumps
- Exponential ergodicity and regularity for equations with Lévy noise
- New sufficient conditions of existence, moment estimations and non confluence for SDEs with non-Lipschitzian coefficients
- Regularity of semigroups generated by Lévy type operators via coupling
- On competitive Lotka-Volterra model in random environments
- Coupling methods for multidimensional diffusion processes
- Environmental Brownian noise suppresses explosions in population dynamics.
- Stability of a random diffusion with nonlinear drift
- Theory of stochastic differential equations with jumps and applications.
- Perturbation of drift-type for Levy processes
- Markov processes associated with certain integro-differential operators
- Long term behavior of solutions of the Lotka-Volterra system under small random perturbations.
- On pathwise uniqueness for stochastic differential equations driven by stable Lévy processes
- Strong solutions for stochastic differential equations with jumps
- Stochastic equations of non-negative processes with jumps
- Asymptotic properties of jump-diffusion processes with state-dependent switching
- Stochastic differential equations driven by stable processes for which pathwise uniqueness fails
- Gradient estimates for diffusion semigroups with singular coefficients
- Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps
- On the uniqueness of solutions of stochastic differential equations
- A study of a class of stochastic differential equations with non-Lipschitzian coefficients
- Feynman–Kac formulas for regime-switching jump diffusions and their applications
- Equivalence of Stochastic Equations and Martingale Problems
- Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
- Exponential ergodicity of non-Lipschitz stochastic differential equations
- Lévy Processes and Stochastic Calculus
- [https://portal.mardi4nfdi.de/wiki/Publication:4043914 Diffusion processes associated with L�vy generators]
- Jump stochastic differential equations with non-Lipschitz and superlinearly growing coefficients
- Stochastic flow for SDEs with jumps and irregular drift term
- Second order PDE's in finite and infinite dimension
