Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps
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DOI: 10.1016/j.spl.2021.109072
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References listed on IDEAS
- Anton A. Shardin & Michaela Szolgyenyi, 2016. "Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information," Papers 1602.04662, arXiv.org, revised Apr 2016.
- Anton A. Shardin & Michaela Szölgyenyi, 2016. "Optimal Control Of An Energy Storage Facility Under A Changing Economic Environment And Partial Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-27, June.
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- Milošević, Marija, 2022. "Stochastic serotonin model with discontinuous drift," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 198(C), pages 359-374.
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Keywords
Multi-dimensional jump–diffusion stochastic differential equations; Finite activity jumps; Discontinuous drift; Existence and uniqueness; Strong solutions;All these keywords.
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