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arxiv: 0802.0933 · v1 · submitted 2008-02-07 · 🧮 math.PR · math.ST· stat.TH

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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