Pathwise uniqueness and non-explosion of SDEs driven by compensated Poisson random measures

Chen Wang and Tusheng Zhang

Statistics & Probability Letters, 2019, vol. 150, issue C, 61-67

Abstract: In this note, we consider stochastic differential equations (SDEs) driven by compensated Poisson random measure. We showed that the solution of the SDEs admits non-explosion for a class of super-linear coefficients, and moreover, we proved that the pathwise uniqueness holds under certain non-Lipschitzian conditions on the coefficients.

Keywords: Gronwall lemma; Non-Lipschitz coefficients; Non-explosion; Pathwise uniqueness (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.02.010

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