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Unique strong solutions of Levy processes driven stochastic differential equations with discontinuous coefficients

Authors :
Xiong, Jie
Zheng, Jiayu
Zhou, Xiaowen
Publication Year :
2016

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.<br />Comment: 21 pages

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1612.05875
Document Type :
Working Paper