Some properties of stochastic differential equation on L′evy processes with non-Lipschitz coefficients
|Keywords:||L′evy 過程;L′evy 型隨機微分方程;Comparison theorem;L′evy processes;stochastic differential equation on L′evy processes;Comparison theorem||Issue Date:||2007||Abstract:||
我們在這篇論文主要探討的是Lévy 過程隨機微分方程解的三個性質。一個是在non-Lipschitz conditions條件下，強解的存在性，而Shizan Fang and Tusheng Zhang 已經討論過diffusion case。其二，我們關心在non-Lipschitz conditions條件下，解相對於初始值的相依性，而Shizan Fang and Tusheng Zhang 也已經討論過diffusion case。其三，我們比較兩條Lévy 過程隨機微分方程解的差異，僅在drift這一項不一樣，而Ikeda and Watanabe 也已經討論過diffusion case。
We shall discauss three properties of stochastic differential equation on Lèvy processes. One is the existence of the strong solutions of stochastic differential equation on Lèvy processes with non-Lipschitz conditions, the diffusion case with non-Lipschitz conditions have been studied by Shizan Fang and Tusheng Zhang . Second subject is that we would generalize to the dependence of the solutions with respect to the initial values with Lévy processes.(The results are discussed by Shizan Fang and Tusheng Zhang  with diffusion cases) The third is the comparison theorem that says that there are two stochastic differential equation on Lèvy processes with different drift terms and we can compare the solutions by the two drift terms. The comparison theorem with diffusion case have studied by Ikeda and Watanabe .
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