Stochastics and Dynamics · 2005 · 35 citations · 7 references
EngineeringMathematicsDifferential EquationsProbability TheoryStochastic ProcessesContinuous-time Stochastic ProcessesDiffusion ProcessesJump ProcessesMarkov ProcessesStochastic CalculusStochastic Differential EquationsBrownian Motion With JumpsJump DiffusionsJump SdesJump-diffusion ProcessesLipschitz ConditionsMarkov Jump ProcessesNumerical Methods For Stochastic Differential EquationsUniqueness Theorems
In this paper, we study the existence and uniqueness of solutions to non-Markovian stochastic differential equations with jump and non-Lipschitz coefficients in infinite dimensional spaces by successive approximation.
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