Differential equations with boundary conditions perturbed by a Poisson noise.

DOI10.1016/S0304-4149(00)00066-1MaRDI QIDQ1879515zbMATH OpenWikidataFDO

Authors Aureli Alabert, Miguel Ángel Marmolejo

Publication date 22 September 2004

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0309310

zbMATH Keywords

boundary conditionsPoisson noisestochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on general state spaces (60J25)

Abstract: We consider one-dimensional stochastic differential equations with a boundary condition, driven by a Poisson process. We study existence and uniqueness of solutions and the absolute continuity of the law of the solution. In the case when the coefficients are linear, we give an explicit form of the solution and study the reciprocal process property.

Review text

The one-dimensional stochastic differential equation with additive Poisson noise \[ X_t= X_0+\int _0^tf(s,X_s) \,ds +N_t, \quad t\in [0,1], \] is studied with boundary conditions of the form \(X_0= \psi (X_1),\) where \(f\) satisfies the usual Itô conditions and \(\psi \) is either one-sided Lipschitz or inverse Lipschitz. The existence and uniqueness of solutions (in the pathwise sense) are shown and, for smooth coefficients, differentiability properties of solutions are investigated. The main result of the paper deals with the reciprocal property of solutions. If \(f\) is affine or 1-periodic in the second variable, then the solution is proved to be reciprocal. An example is given showing that the converse is not true.

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Cites work

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Cited in

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• Stochastic differential equations with boundary conditions driven by a {P}oisson noise

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