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
收藏
页码：398 / 409
页数：12
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