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Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps

Author

Listed:
  • Qiao, Huijie
  • Zhang, Xicheng

Abstract

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.

Suggested Citation

  • Qiao, Huijie & Zhang, Xicheng, 2008. "Homeomorphism flows for non-Lipschitz stochastic differential equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2254-2268, December.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:12:p:2254-2268
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    References listed on IDEAS

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    1. Zhang, Xicheng, 2005. "Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 115(3), pages 435-448, March.
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    Cited by:

    1. Frank Bosserhoff & Mitja Stadje, 2019. "Robustness of Delta Hedging in a Jump-Diffusion Model," Papers 1910.08946, arXiv.org, revised Apr 2022.
    2. Xu, Jie & Wen, Jiaping & Mu, Jianyong & Liu, Jicheng, 2019. "Stochastic flows of SDEs with non-Lipschitz coefficients and singular time," Statistics & Probability Letters, Elsevier, vol. 148(C), pages 118-127.
    3. Wu, Bo & Wu, Jiang-Lun, 2018. "Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 133(C), pages 71-79.

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