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Strong solutions of jump-type stochastic equations

Electronic Communications in Probability · 2012 · 54 citations · 13 references

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Concepts

EngineeringJump-type Stochastic EquationsStochastic CalculusStochastic Dynamical SystemNon-lipschitz ConditionsStochastic AnalysisProbability TheoryLevy ProcessStochastic PhenomenonStrong SolutionsStochastic Differential EquationStochastic Differential EquationsJump DiffusionsUniqueness Ofstrong Solutions

Abstract

We establish the existence and uniqueness ofstrong solutions to some jump-type stochastic equations under non-Lipschitz conditions. The results improve those of Fu and Li (2010) and Li and Mytnik (2011).

References

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Pathwise Uniqueness, Engineering, Comparison Property +11