A note on existence of global solutions and invariant measures for jump SDEs with locally one-sided Lipschitz drift
classification
🧮 math.PR
keywords
conditionexistencegloballipschitzone-sideddriftequationsinvariant
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We extend some methods developed by Albeverio, Brze\'{z}niak and Wu and we show how to apply them in order to prove existence of global strong solutions of stochastic differential equations with jumps, under a local one-sided Lipschitz condition on the drift (also known as a monotonicity condition) and a local Lipschitz condition on the diffusion and jump coefficients, while an additional global one-sided linear growth assumption is satisfied. Then we use these methods to prove existence of invariant measures for a broad class of such equations.
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