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

被引：113

作者：

Albeverio, Sergio ^{[2
,3
,4
,5
,6
]}

Brzezniak, Zdzislaw ^{[7
]}

Wu, Jiang-Lun ^{[1
]}

机构：

[1] Swansea Univ, Dept Math, Swansea SA2 8PP, W Glam, Wales

[2] Univ Bonn, Inst Angew Math, D-53115 Bonn, Germany

[3] Univ Bonn, HCM, D-53115 Bonn, Germany

[4] BiBoS Res Ctr, D-33615 Bielefeld, Germany

[5] CERFIM, Locarno, Switzerland

[6] USI, Acc Arch, Mendrisio, Switzerland

[7] Univ York, Dept Math, York YO10 5DD, N Yorkshire, England

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2010年 / 371卷 / 01期

关键词：

Stochastic differential equations of jump type; Existence and uniqueness; Invariant measures;

D O I：

10.1016/j.jmaa.2010.05.039

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The purpose of this paper is twofold. Firstly, we investigate the problem of existence and uniqueness of solutions to stochastic differential equations with one sided dissipative drift driven by semi-martingales. Secondly, we investigate the problem of existence of an invariant measure for such equations when the coefficients are time independent. (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：309 / 322

页数：14

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