Email this article Strong solutions to stochastic equations with a Lévy noise and a non-constant diffusion coefficient
- Authors: Bogachev V.I.1,2,3, Pilipenko A.Y.4,5
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Affiliations:
- Faculty of Mechanics and Mathematics
- St. Tikhon’s Orthodox University
- National Research University Higher School of Economics
- Institute of Mathematics
- National Technical University of Ukraine “KPI,”
- Issue: Vol 94, No 1 (2016)
- Pages: 438-440
- Section: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/224069
- DOI: https://doi.org/10.1134/S1064562416040244
- ID: 224069
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Abstract
The goal of this study is to prove an existence and uniqueness theorem for the solution of a stochastic differential equation with Lévy noise in the case where the drift coefficient can be discontinuous. Additionally, the differentiability of the solution with respect to the initial condition is proved.
About the authors
V. I. Bogachev
Faculty of Mechanics and Mathematics; St. Tikhon’s Orthodox University; National Research University Higher School of Economics
Author for correspondence.
Email: vibogach@mail.ru
Russian Federation, Moscow, 119991; Moscow; Myasnitskaya ul. 20, Moscow, 101000
A. Yu. Pilipenko
Institute of Mathematics; National Technical University of Ukraine “KPI,”
Email: vibogach@mail.ru
Ukraine, Tereshchenkovskaya ul. 3, Kiev, 01601; Kiev
