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

DOI10.1134/S1064562416040244MaRDI QIDQ339983zbMATH OpenFDO

Authors Vladimir I. Bogachev, Andrey Yu. Pilipenko

Publication date 11 November 2016

Published in Doklady Mathematics (Search for Journal in Brave)

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)

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Cites work

• scientific article; zbMATH DE number 2220058 (Why is no real title available?)
• Estimates of heat kernel of fractional Laplacian perturbed by gradient operators
• Existence of densities for stable-like driven SDEs with Hölder continuous coefficients
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• On the Strong Solutions of Stochastic Differential Equations
• On the construction and Malliavin differentiability of solutions of Lévy noise driven SDE's with singular coefficients
• On the martingale problem associated with nondegenerate Lévy operators
• On the martingale problem for generators of stable processes with perturbations
• PARABOLIC PSEUDODIFFERENTIAL EQUATIONS, HYPERSINGULAR INTEGRALS, AND MARKOV PROCESSES
• Pathwise uniqueness for singular SDEs driven by stable processes
• Perturbation of drift-type for Levy processes
• Stable process with singular drift
• Stochastic differential equations with Sobolev drifts and driven by -stable processes
• Strong solutions to stochastic equations with Lévy noise and a discontinuous drift coefficient
• Uniqueness in law for pure jump Markov processes

Cited in

(11)

• On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients
• The existence and uniqueness of mild solutions to stochastic differential equations with Lévy noise
• Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise
• Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by Lévy noise
• Ergodicity of stochastic differential equations with jumps and singular coefficients
• Unique strong solutions of Lévy processes driven stochastic differential equations with discontinuous coefficients
• Mean-field stochastic differential equations with a discontinuous diffusion coefficient
• Continuous dependence on coefficients for stochastic evolution equations with multiplicative Lévy noise and monotone nonlinearity
• 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
• On strong existence and continuous dependence for solutions of one-dimensional stochastic equations with additive Lévy noise

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