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arXiv · 2010.01955

Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps

Paweł Przybyłowicz·Michaela Szölgyenyi·Fanhui Xu
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Abstract

In this letter we prove existence and uniqueness of strong solutions to multi-dimensional SDEs with discontinuous drift and finite activity jumps.

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Paweł Przybyłowicz, Michaela Szölgyenyi, Fanhui Xu. 2020-10-05. Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps. https://doi.org/10.1016/j.spl.2021.109072

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