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Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps

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  • Przybyłowicz, Paweł
  • Szölgyenyi, Michaela
  • Xu, Fanhui

Abstract

In this letter we prove existence and uniqueness of strong solutions to multi-dimensional SDEs with discontinuous drift and finite activity jumps.

Suggested Citation

  • Przybyłowicz, Paweł & Szölgyenyi, Michaela & Xu, Fanhui, 2021. "Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps," Statistics & Probability Letters, Elsevier, vol. 174(C).
  • Handle: RePEc:eee:stapro:v:174:y:2021:i:c:s0167715221000341
    DOI: 10.1016/j.spl.2021.109072
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    References listed on IDEAS

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    1. 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.
    2. 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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    Cited by:

    1. 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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