A comparison principle for stochastic integro-differential equations
Probability
2016-09-09 v3
Abstract
A comparison principle for stochastic integro-differential equations driven by Levy processes is proved. This result is obtained via an extension of an Ito formula from [11] for the square of the norm of the positive part of valued, continuous semimartingales, to the case of discontinuous semimartingales.
Cite
@article{arxiv.1210.5926,
title = {A comparison principle for stochastic integro-differential equations},
author = {Konstantinos Dareiotis and Istvan Gyongy},
journal= {arXiv preprint arXiv:1210.5926},
year = {2016}
}
Comments
20 pages