Strong uniqueness of solutions of stochastic differential equations with jumps and non-Lipschitz random coefficients

DOI10.15559/VMSTA-2014.1.1.6zbMATH Open1309.60061OpenAlexW2090610801MaRDI QIDQ486867FDOQ486867

Authors: G. L. Kulinich, Svitlana Kushnirenko 

Publication date: 16 January 2015

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15559/vmsta-2014.1.1.6

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zbMATH Keywords

stochastic differential equationsuniqueness of solutionsPoisson measurenon-Lipschitz coefficientssquare integrable continuous vector martingales

Mathematics Subject Classification ID

Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Cited In (14)

• Title not available (Why is that?)
• Strong solutions of a class of stochastic differential equations with jumps
• On strong solutions to countable systems of SDEs with interaction and non-Lipschitz drift
• Well-posedness of a system of SDEs driven by jump random measures
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• Unique strong solutions of Lévy processes driven stochastic differential equations with discontinuous coefficients
• Stochastic differential equation in a random environment
• Properties of solutions of stochastic differential equations with random coefficients, non-Lipschitz diffusion, and Poisson measures
• Kim and Omberg revisited: the duality approach
• Existence and uniqueness of solutions of stochastic differential equations with non-Lipschitz diffusion and Poisson measure
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• HJB equations with gradient constraint associated with controlled jump-diffusion processes
• Pathwise uniqueness for an SPDE with jumps and non-Lipschitz coefficients
• A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications

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