Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by Levy noise

被引：34

作者：

Xu, Yong ^{[1
]}

Pei, Bin ^{[1
]}

Guo, Guobin ^{[1
]}

机构：

[1] Northwestern Polytech Univ, Dept Appl Math, 127 W Youyilu Rd, Xian 710072, Shaanxi, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2015年 / 263卷

关键词：

Non-Lipschitz condition; Levy noise; Existence and uniqueness; Success' approximation; Stability; Stochastic differential equations; SUCCESSIVE APPROXIMATION; DYNAMICAL-SYSTEMS; COEFFICIENTS; JUMPS;

D O I：

10.1016/j.amc.2015.04.070

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, successive approximation method is applied to investigate the existence and uniqueness of solutions to stochastic differential equations (SDEs) driven by Levy noise under non-Lipschitz condition which is a much weaker condition than Lipschitz one. The stability of solutions to non-Lipschitz SDEs driven by Levy noise is also considered, and the stochastic stability is obtained in the sense of mean square. (C) 2015 Elsevier Inc. All rights reserved.

引用

页码：398 / 409

页数：12

共 32 条

[1] Existence of global solutions and invariant measures for stochastic differential equations driven by Poisson type noise with non-Lipschitz coefficients [J].