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JOURNALS // Matematicheskie Trudy // Archive

Mat. Tr., 2017 Volume 20, Number 1, Pages 128–144 (Mi mt318)

Stochastic equations with discontinuous jump functions

A. V. Logachovabc, S. Ya. Makhnod

a Novosibirsk State University of Economics and Management, Novosibirsk, Russia
b Novosibirsk State University, Novosibirsk, Russia
c Siberian State University of Geosystems and Technologies, Novosibirsk, Russia
d Institute of Applied Mathematics and Mechanics, Slavyansk, Ukraine

Abstract: In the present article, we consider a stochastic differential equation that contains an integral with respect to a Poisson measure but avoids the diffusion term. The integrand need not be continuous. We introduce a definition of a solution and prove the existence and uniqueness theorems.

Key words: stochastic differential equation, Poisson measure, differential inclusions.

UDC: 519.2

Received: 17.05.2016

DOI: 10.17377/mattrudy.2017.20.108


 English version:
Siberian Advances in Mathematics, 2017, 27:4, 263–273

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© Steklov Math. Inst. of RAS, 2024