Pathwise uniqueness for stochastic differential equations driven by pure jump processes

被引：1

作者：

Zheng, Jiayu ^{[1
]}

Xiong, Jie ^{[1
]}

机构：

[1] Univ Macau, Fac Sci & Technol, Dept Math, Zhuhai, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2017年 / 130卷

关键词：

Pure jump process; Weak uniqueness; Tanaka's formula; Pathwise uniqueness; Local time;

D O I：

10.1016/j.spl.2017.07.015

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：

Based on the weak existence and weak uniqueness, we study the pathwise uniqueness of the solutions for a class of one-dimensional stochastic differential equations driven by pure jump processes. By using Tanaka's formula and the local time technique, we show that there is no gap between the strong uniqueness and weak uniqueness when the coefficients of the Poisson random measures satisfy a suitable condition. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：100 / 104

页数：5

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