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

Jie Xiong; Jiayu Zheng; Xiaowen Zhou

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arXiv · 1612.05875

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

Jie Xiong·Jiayu Zheng·Xiaowen Zhou

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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.

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Jie Xiong, Jiayu Zheng, Xiaowen Zhou. 2016-12-18. Unique strong solutions of Levy processes driven stochastic differential equations with discontinuous coefficients. https://arxiv.org/abs/1612.05875

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