Statistics & Probability Letters · 2021 · 13 citations · 15 references
EngineeringMathematicsDynamical SystemsProbability TheoryStochastic ProcessesBrownian MotionContinuous-time Stochastic ProcessesDiffusion ProcessesStochastic CalculusStochastic Differential EquationsStochastic StabilityBrownian Motion With JumpsJump-diffusion ProcessesPathwise UniquenessStochastic Integration With JumpsStrong SolutionsUniqueness Theorems
In this letter we prove existence and uniqueness of strong solutions to multi-dimensional SDEs with discontinuous drift and finite activity jumps.
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