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

Wei Mao; Liangjian Hu; Surong You; Xuerong Mao

doi:10.14232/ejqtde.2017.1.86

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

Wei Mao, Liangjian Hu, Surong You, Xuerong Mao

Mathematics And Statistics

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3 Citations (Scopus)

36 Downloads (Pure)

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.

Original language	English
Pages (from-to)	1-19
Number of pages	19
Journal	Electronic Journal of Qualitative Theory of Differential Equations
Volume	86
DOIs	https://doi.org/10.14232/ejqtde.2017.1.86
Publication status	Published - 5 Dec 2017

Keywords

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

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10.14232/ejqtde.2017.1.86Licence: CC BY 4.0

Mao-etal-QTDE-2017-Successive-approximation-of-solutions-to-doubly-perturbed-stochastic-differential-equations-with-jumpsFinal published version, 442 KBLicence: CC BY 4.0

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. ",

keywords = "doubly perturbed stochastic differential equations, L{\'e}vy jumps, local non-Lipschitz condition, p-th exponential estimates",

author = "Wei Mao and Liangjian Hu and Surong You and Xuerong Mao",

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AU - Mao, Wei

AU - Hu, Liangjian

AU - You, Surong

AU - Mao, Xuerong

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Y1 - 2017/12/5

N2 - 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.

AB - 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.

KW - doubly perturbed stochastic differential equations

KW - Lévy jumps

KW - local non-Lipschitz condition

KW - p-th exponential estimates

U2 - 10.14232/ejqtde.2017.1.86

DO - 10.14232/ejqtde.2017.1.86

M3 - Article

VL - 86

SP - 1

EP - 19

JO - Electronic Journal of Qualitative Theory of Differential Equations

JF - Electronic Journal of Qualitative Theory of Differential Equations

ER -

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

Abstract

Keywords

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