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Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by Lévy noise

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  • Xu, Yong
  • Pei, Bin
  • Guo, Guobin

Abstract

In this paper, successive approximation method is applied to investigate the existence and uniqueness of solutions to stochastic differential equations (SDEs) driven by Lévy noise under non-Lipschitz condition which is a much weaker condition than Lipschitz one. The stability of solutions to non-Lipschitz SDEs driven by Lévy noise is also considered, and the stochastic stability is obtained in the sense of mean square.

Suggested Citation

  • Xu, Yong & Pei, Bin & Guo, Guobin, 2015. "Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by Lévy noise," Applied Mathematics and Computation, Elsevier, vol. 263(C), pages 398-409.
    • Handle: RePEc:eee:apmaco:v:263:y:2015:i:c:p:398-409
    DOI: 10.1016/j.amc.2015.04.070
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    References listed on IDEAS

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    1. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
    2. Hélyette Geman & Dilip B. Madan & Marc Yor, 2001. "Time Changes for Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 79-96, January.
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    Cited by:

    1. Fu, Xiaozheng & Zhu, Quanxin & Guo, Yingxin, 2019. "Stabilization of stochastic functional differential systems with delayed impulses," Applied Mathematics and Computation, Elsevier, vol. 346(C), pages 776-789.
    2. Xu, Yan & He, Zhimin & Wang, Peiguang, 2015. "pth moment asymptotic stability for neutral stochastic functional differential equations with Lévy processes," Applied Mathematics and Computation, Elsevier, vol. 269(C), pages 594-605.
    3. Abouagwa, Mahmoud & Liu, Jicheng & Li, Ji, 2018. "Carathéodory approximations and stability of solutions to non-Lipschitz stochastic fractional differential equations of Itô-Doob type," Applied Mathematics and Computation, Elsevier, vol. 329(C), pages 143-153.
    4. Song, Bo & Zhang, Ya & Park, Ju H., 2021. "H∞ control for Poisson-driven stochastic systems," Applied Mathematics and Computation, Elsevier, vol. 392(C).

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