Unique strong solutions of Levy processes driven stochastic differential equations with discontinuous coefficients
Probability
2018-12-27 v3
Abstract
We establish the existence and uniqueness for a one-dimensional stochastic differential equation driven by a Brownian motion and a pure jump {\levy} process. It is shown that under fairly general conditions on the coefficients, pathwise uniqueness holds based on the methods of weak uniqueness and local time technique.
Keywords
Cite
@article{arxiv.1612.05875,
title = {Unique strong solutions of Levy processes driven stochastic differential equations with discontinuous coefficients},
author = {Jie Xiong and Jiayu Zheng and Xiaowen Zhou},
journal= {arXiv preprint arXiv:1612.05875},
year = {2018}
}
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21 pages