Pathwise uniqueness for stochastic differential equations driven by pure jump processes

Jiayu Zheng and Jie Xiong

Statistics & Probability Letters, 2017, vol. 130, issue C, 100-104

Abstract: Based on the weak existence and weak uniqueness, we study the pathwise uniqueness of the solutions for a class of one-dimensional stochastic differential equations driven by pure jump processes. By using Tanaka’s formula and the local time technique, we show that there is no gap between the strong uniqueness and weak uniqueness when the coefficients of the Poisson random measures satisfy a suitable condition.

Keywords: Pure jump process; Weak uniqueness; Tanaka’s formula; Pathwise uniqueness; Local time (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.07.015

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