Communications in Mathematical Sciences

Volume 4 (2006)

Number 1

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

Pages: 129 – 154

DOI: http://dx.doi.org/10.4310/CMS.2006.v4.n1.a5

Authors

Thilo Meyer-Brandis

Frank Proske

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.

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