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Stochastic equations of non-negative processes with jumps

We study stochastic equations of non-negative processes with jumps. The existence and uniqueness of strong solutions are established under Lipschitz and non-Lipschitz conditions. Under suitable conditions, the comparison properties of solutions are proved. Those results are applied to construct continuous state branching processes with immigration as strong solutions of stochastic equations.
Year of publication:
2010
Authors: Fu, Zongfei ; Li, Zenghu
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 3, p. 306-330
Publisher: Elsevier
Keywords: Stochastic equation Strong solution Pathwise uniqueness Comparison theorem Non-Lipschitz condition Continuous state branching process Immigration
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008875777
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