Strong solutions for stochastic differential equations with jumps

DOI10.1214/10-AIHP389MaRDI QIDQ1944669zbMATH OpenFDO

Authors Zenghu Li, Leonid Mytnik

Publication date 26 March 2013

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0910.0950, https://projecteuclid.org/euclid.aihp/1317906501

zbMATH Keywords

non-Lipschitz conditionpathwise uniquenessstochastic equationstrong solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: General stochastic equations with jumps are studied. We provide criteria for the uniqueness and existence of strong solutions under non-Lipschitz conditions of Yamada-Watanabe type. The results are applied to stochastic equations driven by spectrally positive L'evy processes.

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Cited in

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