Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by Lévy noise

Yong Xu, Bin Pei and Guobin Guo

Applied Mathematics and Computation, 2015, vol. 263, issue C, 398-409

Abstract: In this paper, successive approximation method is applied to investigate the existence and uniqueness of solutions to stochastic differential equations (SDEs) driven by Lévy noise under non-Lipschitz condition which is a much weaker condition than Lipschitz one. The stability of solutions to non-Lipschitz SDEs driven by Lévy noise is also considered, and the stochastic stability is obtained in the sense of mean square.

Keywords: Non-Lipschitz condition; Lévy noise; Existence and uniqueness; Successive approximation; Stability; Stochastic differential equations (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:263:y:2015:i:c:p:398-409

DOI: 10.1016/j.amc.2015.04.070

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