Jump stochastic differential equations with non-Lipschitz and superlinearly growing coefficients

DOI10.1080/17442508.2017.1421195MaRDI QIDQ5086446zbMATH OpenOpenAlexFDO

Authors Yuchao Dong

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.05498

zbMATH Keywords

comparison principlenon-explosionjump stochastic differential equationspathwise uniquenessnon-contact propertysuperlinear and non-Lipschitz condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In the paper, we consider the no-explosion condition and pathwise uniqueness for SDEs driven by a Poisson random measure with coefficients that are super-linear and non-Lipschitz. We give a comparison theorem in the one-dimensional case under some additional condition. Moreover, we study the non-contact property and the continuity with respect to the space variable of the stochastic flow. As an application, we will show that there exists a unique strong solution for SDEs with coefficients like $xlog|x|$.

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Cited in

(10)

• Pathwise uniqueness and non-explosion of SDEs driven by compensated Poisson random measures
• A class of stochastic differential equations with non-Lipschitzian coefficients: Pathwise uniqueness and no explosion
• Kinetic time-inhomogeneous Lévy-driven model
• Stochastic differential delay equations with jumps, under nonlinear growth condition
• Stochastic bounds on the zero range processes with superlinear jump rates
• Well-posedness of a system of SDEs driven by jump random measures
• A general continuous-state nonlinear branching process
• Strong uniqueness of solutions of stochastic differential equations with jumps and non-Lipschitz random coefficients
• A class of stochastic differential equations with super-linear growth and non-Lipschitz coefficients
• Jump type stochastic differential equations with non-Lipschitz coefficients: non-confluence, Feller and strong Feller properties, and exponential ergodicity

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