A note on existence of global solutions and invariant measures for jump SDEs with locally one-sided Lipschitz drift

DOI10.37190/0208-4147.40.1.3MaRDI QIDQ5122736zbMATH OpenOpenAlexFDO

Authors Mateusz B. Majka

Publication date 24 September 2020

Published in Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.03824

zbMATH Keywords

invariant measuresstochastic differential equationsjump processes

Mathematics Subject Classification ID

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

Abstract: We extend some methods developed by Albeverio, Brze'{z}niak and Wu and we show how to apply them in order to prove existence of global strong solutions of stochastic differential equations with jumps, under a local one-sided Lipschitz condition on the drift (also known as a monotonicity condition) and a local Lipschitz condition on the diffusion and jump coefficients, while an additional global one-sided linear growth assumption is satisfied. Then we use these methods to prove existence of invariant measures for a broad class of such equations.

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Cited in

(7)

• Existence of global solutions and invariant measures for stochastic differential equations driven by Poisson type noise with non-Lipschitz coefficients
• Exponential ergodicity for a class of Markov processes with interactions
• Mean-square contractivity of stochastic \(\vartheta\)-methods
• Exponential ergodicity for SDEs and McKean-Vlasov processes with Lévy noise
• Approximation of heavy-tailed distributions via stable-driven SDEs
• The cutoff phenomenon in Wasserstein distance for nonlinear stable Langevin systems with small Lévy noise
• On sub-geometric ergodicity of diffusion processes

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