相关论文: Stochastic differential equations with jumps

In this paper, we study backward stochastic differential equations (BSDEs shortly) with jumps that have Lipschitz generator in a general filtration supporting a Brownian motion and an independent Poisson random measure. Under just…

We study the rate of convergence of an explicit and an implicit-explicit finite difference scheme for linear stochastic integro-differential equations of parabolic type arising in non-linear filtering of jump-diffusion processes. We show…

Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rather unhandy. We study local martingales that follow a given…

An existence and uniqueness theorem for a class of stochastic delay differential equations is presented, and the convergence of Euler approximations for these equations is proved under general conditions. Moreover, the rate of almost sure…

In this article, we establish integration by parts formulas for the solutions of McKean-Vlasov stochastic differential equations with jumps under elliptic coefficients. The derived formulas accommodate both derivatives with respect to…

In this paper, we investigate the optimal control problems for stochastic differential equations (SDEs in short) of mean-field type with jump processes. The control variable is allowed to enter into both diffusion and jump terms. This…

In this paper, the distribution dependent stochastic differential equation in a separable Hilbert space with a Dini continuous drift is investigated. The existence and uniqueness of weak and strong solutions are obtained. Moreover, some…

In stochastic partial differential equations it is important to have pathwise regularity properties of stochastic convolutions. In this note we present a new sufficient condition for the pathwise continuity of stochastic convolutions in…

This paper deals with the existence of solutions for an elliptic system of partial differential equations. The solution method is based on the sub- and super-solutions approach. An application to a stochastic control problem is presented.…

We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition…

We establish a new version of the stochastic Strichartz estimate for the stochastic convolution driven by jump noise which we apply to the stochastic nonlinear Schr\"{o}dinger equation with nonlinear multiplicative jump noise in the Marcus…

We study the properties of solutions of stochastic differential equations driven by processes generating loops in free nilpotent groups. We are in particular interested in existence and smoothness for the density.

A class of (possibly) degenerate integro-differential equations of parabolic type is considered, which includes the Kolmogorov equations for jump diffusions. Existence and uniqueness of the solutions are established in Bessel potential…

Pathwise uniqueness for stochastic PDEs with drift in differential form is a main open problem in the recent literature on regularisation by noise. This paper establishes a self-contained theory in the framework of stochastic evolution…

We establish a strong unique continuation property for stochastic parabolic equations. Our method is based on a suitable stochastic version of Carleman estimate. As far as we know, this is the first result for strong unique continuation…

This manuscript contains nothing new, but synthesizes known results: For the theoretical population geneticist with a probabilistic background, we provide a summary of some key results on stochastic differential equations. For the…

Investigate the stochastic dynamic non-linear system with the Wiener and the Poisson perturbations. For such systems we construct the program control with probability one, which allows this system to move on the given trajectory. In this…

In this article, we study elliptic stochastic partial differential equations with two reflect- ing walls h1 and h2, driven by multiplicative noise. The existence and uniqueness of the solutions are established.

The existence and uniqueness are proved for the global positive solution to the system of stochastic differential equations describing a two-species mutualism model disturbed by the white noise, the centered and non-centered Poisson noises.…

Considering stochastic partial differential equations of parabolic type with random coefficients in vector-valued H\"older spaces, we obtain a sharp Schauder estimate. As an application, the existence and uniqueness of solution to the…