Stochastic equations of non-negative processes with jumps
Probability
2008-02-08 v1 Statistics Theory
Statistics Theory
Abstract
We study stochastic equations of non-negative processes with jumps. The existence and uniqueness of strong solutions are established under Lipschitz and non-Lipschitz conditions. The comparison property of two solutions are proved under suitable conditions. The results are applied to stochastic equations driven by one-sided Levy processes and those of continuous state branching processes with immigration.
Cite
@article{arxiv.0802.0933,
title = {Stochastic equations of non-negative processes with jumps},
author = {Zongfei Fu and Zenghu Li},
journal= {arXiv preprint arXiv:0802.0933},
year = {2008}
}