Stochastic equations with time-dependent drift driven by Levy processes
Probability
2007-05-23 v1 Mathematical Physics
math.MP
Abstract
Using the method of Krylov's estimates, we prove the existence of weak solutions of stochastic differential equations driven by purely discontinuous Levy processes satisfying an additional assumption. The diffusion coefficient is assumed to be one and the time-dependent drift is measurable and bounded.
Cite
@article{arxiv.math/0604136,
title = {Stochastic equations with time-dependent drift driven by Levy processes},
author = {V. P. Kurenok},
journal= {arXiv preprint arXiv:math/0604136},
year = {2007}
}
Comments
12 pages