Stochastic equations of non-negative processes with jumps
classification
🧮 math.PR
math.STstat.TH
keywords
processesequationsstochasticconditionsjumpsnon-negativesolutionsunder
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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. The comparison property of two solutions are proved under suitable conditions. The results are applied to stochastic equations driven by one-sided Levy processes and those of continuous state branching processes with immigration.
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