IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v174y2021ics0167715221000341.html
   My bibliography  Save this article

Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps

Author

Listed:
  • Przybyłowicz, Paweł
  • Szölgyenyi, Michaela
  • Xu, Fanhui

Abstract

In this letter we prove existence and uniqueness of strong solutions to multi-dimensional SDEs with discontinuous drift and finite activity jumps.

Suggested Citation

  • Przybyłowicz, Paweł & Szölgyenyi, Michaela & Xu, Fanhui, 2021. "Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps," Statistics & Probability Letters, Elsevier, vol. 174(C).
    • Handle: RePEc:eee:stapro:v:174:y:2021:i:c:s0167715221000341
    DOI: 10.1016/j.spl.2021.109072
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715221000341
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2021.109072?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Anton A. Shardin & Michaela Szolgyenyi, 2016. "Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information," Papers 1602.04662, arXiv.org, revised Apr 2016.
    2. Anton A. Shardin & Michaela Szölgyenyi, 2016. "Optimal Control Of An Energy Storage Facility Under A Changing Economic Environment And Partial Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-27, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Milošević, Marija, 2022. "Stochastic serotonin model with discontinuous drift," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 198(C), pages 359-374.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. David Andrés‐Cerezo & Natalia Fabra, 2023. "Storing power: market structure matters," RAND Journal of Economics, RAND Corporation, vol. 54(1), pages 3-53, March.
    2. Przybyłowicz, Paweł & Szölgyenyi, Michaela, 2021. "Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift," Applied Mathematics and Computation, Elsevier, vol. 403(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:174:y:2021:i:c:s0167715221000341. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.