Degenerate irregular SDEs with jumps and application to integro-differential equations of Fokker-Planck type

Xicheng Zhang (Wuhan University)

Abstract


We investigate stochastic differential equations with jumps and irregular coefficients, and obtain the existence and uniqueness ofgeneralized stochastic flows. Moreover, we also prove the existence and uniqueness of $L^p$-solutions or measure-valued solutionsfor second order integro-differential equation of Fokker-Planck type.

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Pages: 1-25

Publication Date: May 20, 2013

DOI: 10.1214/EJP.v18-2820

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