Successive approximation of solutions to doubly perturbed stochastic differential equations with jumps

Wei Mao, Liangjian Hu, Surong You, Xuerong Mao

Research output: Contribution to journalArticle

Abstract

In this paper, we study the existence and uniqueness of solutions to doubly perturbed stochastic differential equations with jumps under the local Lipschitz conditions, and give the p-th exponential estimates of solutions. Finally, we give an example to illustrate our results.
LanguageEnglish
Pages1-19
Number of pages19
JournalElectronic Journal of Qualitative Theory of Differential Equations
Volume86
DOIs
Publication statusPublished - 5 Dec 2017

Fingerprint

Lipschitz condition
Successive Approximation
Existence and Uniqueness of Solutions
Stochastic Equations
Jump
Differential equations
Differential equation
Estimate

Keywords

  • doubly perturbed stochastic differential equations
  • Lévy jumps
  • local non-Lipschitz condition
  • p-th exponential estimates

Cite this

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title = "Successive approximation of solutions to doubly perturbed stochastic differential equations with jumps",
abstract = "In this paper, we study the existence and uniqueness of solutions to doubly perturbed stochastic differential equations with jumps under the local Lipschitz conditions, and give the p-th exponential estimates of solutions. Finally, we give an example to illustrate our results.",
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Successive approximation of solutions to doubly perturbed stochastic differential equations with jumps. / Mao, Wei; Hu, Liangjian; You, Surong; Mao, Xuerong.

In: Electronic Journal of Qualitative Theory of Differential Equations, Vol. 86, 05.12.2017, p. 1-19.

Research output: Contribution to journalArticle

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AU - You, Surong

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KW - p-th exponential estimates

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