Strong solutions to stochastic equations with a Lévy noise and a non-constant diffusion coefficient

DOI10.1134/S1064562416040244zbMATH Open1352.60083MaRDI QIDQ339983FDOQ339983

Vladimir I. Bogachev, Andrey Yu. Pilipenko

Publication date: 11 November 2016

Published in: Doklady Mathematics (Search for Journal in Brave)

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zbMATH Keywords

stochastic differential equationLévy noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Existence of densities for stable-like driven SDEs with Hölder continuous coefficients
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• Stable process with singular drift
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• PARABOLIC PSEUDODIFFERENTIAL EQUATIONS, HYPERSINGULAR INTEGRALS, AND MARKOV PROCESSES
• Stochastic differential equations with Sobolev drifts and driven by \(\alpha\)-stable processes
• Pathwise uniqueness for singular SDEs driven by stable processes
• On the martingale problem associated with nondegenerate Lévy operators
• Perturbation of drift-type for Levy processes
• On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients
• On the Strong Solutions of Stochastic Differential Equations
• On existence and properties of strong solutions of one-dimensional stochastic equations with an additive noise
• On the martingale problem for generators of stable processes with perturbations
• Strong solutions to stochastic equations with Lévy noise and a discontinuous drift coefficient

Cited In (7)

• On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients
• Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise
• Unique strong solutions of Lévy processes driven stochastic differential equations with discontinuous coefficients
• Ergodicity of stochastic differential equations with jumps and singular coefficients
• Mean-field stochastic differential equations with a discontinuous diffusion coefficient
• Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes
• Strong solutions to stochastic equations with Lévy noise and a discontinuous drift coefficient

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