On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients

Meyer-Brandis, Thilo und Proske, Frank (2006): On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients. In: Communications in Mathematical Sciences, Bd. 4, Nr. 1: 129 - 154

Abstract

We give a method to represent strong solutions of stochastic differential equations driven by Lévy processes, explicitly. Furthermore we employ these explicit representations to study strong solutions of a certain class of SDE's, whose coefficients are not necessarily Lipschitz continuous.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• Sprache: Englisch