Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps
Paweł Przybyłowicz, Michaela Szölgyenyi, Fanhui Xu
Abstract
In this letter we prove existence and uniqueness of strong solutions to multi-dimensional SDEs with discontinuous drift and finite activity jumps.
Topics & Concepts
UniquenessMathematicsApplied mathematicsJumpMathematical analysisPhysicsQuantum mechanicsNonlinear Differential Equations AnalysisAdvanced Mathematical Modeling in EngineeringStability and Controllability of Differential Equations