Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps

被引：15

作者：

Qiao, Huijie ^{[2
]}

Zhang, Xicheng ^{[1
,2
]}

机构：

[1] Univ New S Wales, Sch Math & Stat, Sydney, NSW 2052, Australia

[2] Huazhong Univ Sci & Technol, Dept Math, Wuhan 430074, Hubei, Peoples R China

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2008年 / 118卷 / 12期

基金：

澳大利亚研究理事会;

关键词：

Homeomorphism flow; SDEs with jumps; Non-Lipschitz; Exponential martingale;

D O I：

10.1016/j.spa.2007.12.006

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we study the continuity property as well as the homeomorphism property for the solutions of multidimensional stochastic differential equations with jumps and non-Lipschitz coefficients with respect to the initial values. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：2254 / 2268

页数：15

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