Jump type stochastic differential equations with non-Lipschitz coefficients: Non-confluence, Feller and strong Feller properties, and exponential ergodicity

By Fubao Xi, Chao Zhu. Journal of Differential Equations, 2017

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This paper considers multidimensional jump type stochastic differential equations with super linear growth and non-Lipschitz coefficients. After establishing a sufficient condition for nonexplosion, this paper presents sufficient non-Lipschitz conditions for pathwise uniqueness. The non confluence property for solutions is investigated. Feller and strong Feller properties under non-Lipschitz conditions are investigated via the coupling method. Sufficient conditions for irreducibility and exponential ergodicity are derived. As applications, this paper also studies multidimensional stochastic differential equations driven by Levy processes and presents a Feynman-Kac formula for Levy type operators.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/51719c0ad1abc6702d60a0ef49c3d699315739a7