Communications in Mathematical Sciences

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

Thilo Meyer-Brandis and Frank Proske

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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.

Article information

Source
Commun. Math. Sci., Volume 4, Number 1 (2006), 129-154.

Dates
First available in Project Euclid: 24 April 2006

Permanent link to this document
https://projecteuclid.org/euclid.cms/1145905940

Mathematical Reviews number (MathSciNet)
MR2204081

Zentralblatt MATH identifier
1100.60032

Citation

Meyer-Brandis, Thilo; Proske, Frank. On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients. Commun. Math. Sci. 4 (2006), no. 1, 129--154. https://projecteuclid.org/euclid.cms/1145905940


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