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arXiv · 1210.5926

A comparison principle for stochastic integro-differential equations

Konstantinos Dareiotis·Istvan Gyongy
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Abstract

A comparison principle for stochastic integro-differential equations driven by Levy processes is proved. This result is obtained via an extension of an Ito formula from [11] for the square of the norm of the positive part of $L_2-$valued, continuous semimartingales, to the case of discontinuous semimartingales.

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Konstantinos Dareiotis, Istvan Gyongy. 2015-01-03. A comparison principle for stochastic integro-differential equations. https://doi.org/10.1007/s11118-014-9416-7

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