On Wiener-Poisson type multivalued stochastic differential equations with non-Lipschitz coefficients |
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Authors: | Jing Wu |
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Affiliation: | 11164. School of Mathematics and Computational Science, Sun Yat-sen University, Guangzhou, 510275, P. R. China
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Abstract: | In this paper, we prove local uniqueness for multivalued stochastic differential equations with Poisson jumps. Then existence and uniqueness of global solutions is obtained under the conditions that the coefficients satisfy locally Lipschitz continuity and one-sided linear growth of b. Moreover, we also prove the Markov property of the solution and the existence of invariant measures for the corresponding transition semigroup. |
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Keywords: | Multivalued stochastic differential equation poisson point process local solution local uniqueness global solution invariant measure |
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