姜祖恕臺灣大學:數學研究所林敬堯Lin, Ching-YaoChing-YaoLin2010-05-052018-06-282010-05-052018-06-282007U0001-2301200810485200http://ntur.lib.ntu.edu.tw//handle/246246/180532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 [1]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 [1]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 [3]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 [1]. 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 [1] 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 [3].謝辭 ii文摘要 iiibstract ivhapter 1. Introduction [1]hapter 2. L′evy processes [3]. L′evy processes and random measures [3]. L′evy-Itˆo decomposition and L′evy-Khintchine representation [5]hapter 3. Stochastic integration [7]. Stochastic integration [7]. Stochastic integrals based on L′evy processes [9]. Itˆo’s formula [11]. Exponential martingales [14]hapter 4. Existence of the strong solution of SDE on L′evy processes with non-Lipschitz conditions and continuity for initial data [17]. Existence of strong solution [17]. Continuity of solution of SDE for initial data [24]hapter 5. A Comparison theorem on L′evy processes [29]ibliography [32]application/pdf473744 bytesapplication/pdfen-USL′evy 過程L′evy 型隨機微分方程Comparison theoremL′evy processesstochastic differential equation on L′evy processesthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/180532/1/ntu-96-R94221017-1.pdf