Abstract
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 spectrally positive Lévy processes.
| Original language | English |
|---|---|
| Pages (from-to) | 1055-1067 |
| Number of pages | 13 |
| Journal | Annales de l'institut Henri Poincare (B) Probability and Statistics |
| Volume | 47 |
| Issue number | 4 |
| DOIs | |
| State | Published - Nov 2011 |
Keywords
- Non-Lipschitz condition
- Pathwise uniqueness
- Stochastic equation
- Strong solution
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty