Strong solutions of a class of SDEs with jumps
Juan Zhao
TL;DR
This paper investigates a class of stochastic differential equations with jumps, establishing existence and uniqueness of strong solutions under non-Lipschitz conditions using Euler approximation methods.
Contribution
It introduces new sufficient conditions for strong uniqueness and demonstrates the existence of solutions for SDEs with jumps under non-Lipschitz assumptions.
Findings
Existence of strong solutions under non-Lipschitz conditions.
Sufficient criteria for strong uniqueness.
Application of Euler approximations to jump SDEs.
Abstract
We study a class of stochastic integral equations with jumps under non-Lipschitz conditions. We use the method of Euler approximations to obtain the existence of the solution and give some sufficient conditions for the strong uniqueness.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsStochastic processes and financial applications · Stability and Controllability of Differential Equations · Optimization and Variational Analysis