Strong solutions of jump-type stochastic equations

By Zenghu Li, Fei Pu. 2012

60 citations recorded by the source corpus.

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).

Subfields: Applied Mathematics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/2568dbe193bcd028f2f7ce1f458b7d2f02cceb4a

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In Applied Mathematics

1. Chao Zhu
2. Fubao Xi

In Finance

1. Chao Zhu
2. Fubao Xi
3. George Yin
4. Dang Hai Nguyen

In Mathematical Physics

1. Chao Zhu
2. Fubao Xi

Citations in the corpus

• Jump type stochastic differential equations with non-Lipschitz coefficients: Non-confluence, Feller and strong Feller properties, and exponential ergodicity (2017, background): “ons; a crucial assumption in these two papers is that the kernel for the compensated Poisson integral term is nondecreasing. Such a nondecreasing kernel assumption was weakened in Fournier (2013) and Li and Pu (2012). It should be noted that pathwise uniqueness need not hold in general if the diffusi”