相关论文: Stochastic differential equations with jumps
In this paper, we study the convergence for solutions to a sequence of (possibly degenerate) stochastic differential equations with jumps, when the coefficients converge in some appropriate sense. Our main tools are the superposition…
In this paper, we investigate stochastic continuity (with respect to the initial value), irreducibility and non confluence property of the solutions of stochastic differential equations with jumps. The conditions we posed are weaker than…
In this work we mainly prove the existence and pathwise uniqueness of solutions to general backward doubly stochastic differential equations with jumps appearing in both forward and backward integral parts. Several comparison theorems under…
We consider one-dimensional stochastic differential equations with jumps in the general case. We introduce new technics based on local time and we prove new results on pathwise uniqueness and comparison theorems. Our approach are very easy…
A multi-type continuous state and continuous time branching process with immigration satisfying some moment conditions is identified as a pathwise unique strong solution of certain stochastic differential equation with jumps.
We establish an integration by parts formula based on jumps times in an abstract framework in order to study the regularity of the law for processes solution of stochastic differential equations with jumps.
In this paper, we obtain stability results for backward stochastic differential equations with jumps (BSDEs) in a very general framework. More specifically, we consider a convergent sequence of standard data, each associated to their own…
We study stochastic differential equations with jumps with no diffusion part. We provide some basic stochastic characterizations of solutions of the corresponding non-local partial differential equations and prove the Harnack inequality for…
Many time series are effectively generated by a combination of deterministic continuous flows along with discrete jumps sparked by stochastic events. However, we usually do not have the equation of motion describing the flows, or how they…
General stochastic equations with jumps are studied. We provide criteria for the uniqueness and existence of strong solutions under non-Lipschitz conditions of Yamada-Watanabe type. The results are applied to stochastic equations driven by…
In the paper, stationary measures of stochastic differential equations with jumps are considered. Under some general conditions, existence of stationary measures is proved through Markov measures and Lyapunov functions. Moreover, for two…
We investigate stochastic differential equations with jumps and irregular coefficients, and obtain the existence and uniqueness of generalized stochastic flows. Moreover, we also prove the existence and uniqueness of $L^p$-solutions or…
In this paper, we establish a result for existence and uniqueness of stochastic differential equations on Riemannian manifolds, for regular inhomogeneous tensor coefficients with stochastic drift, under geometrical hypothesis on the…
The technique of stochastic solutions, previously used for deterministic equations, is here proposed as a solution method for partial differential equations driven by distribution-valued noises.
The aim of this paper is to establish the existence and uniqueness of the solution to a system of nonlinear fully coupled forward-backward doubly stochastic differential equations with Poisson jumps. Our system is Markovian in the sense…
In this article we propose a model for stochastic delay differential equation with jumps (SDDEJ) in a differentiable manifold $M$ endowed with a connection $\nabla$. In our model, the continuous part is driven by vector fields with a fixed…
We formulate stochastic partial differential equations on Riemannian manifolds, moving surfaces, general evolving Riemannian manifolds (with appropriate assumptions) and Riemannian manifolds with random metrics, in the variational setting…
In this note we review recent results on existence and uniqueness of solutions of infinite-dimensional stochastic differential equations describing interacting Brownian motions on $\R^d$.
In this paper we prove the existence and uniqueness theorem, comparison theorem of a class of anticipated mean-field backward stochastic differential equations with jumps.
In this paper, the existence and pathwise uniqueness of strong solutions for jump-type stochastic differential equations are investigated under non-Lipschitz conditions. A sufficient condition is obtained for ensuring the non-confluent…