On sequential construction of solutions of stochastic differential equations with jump terms (Q1098171)

Solutions of stochastic differential equations with jump terms are constructed by piecing together diffusions at the jump times \(\tau_ n\). In particular, conditions are given which insure that \(\tau_{n+1}- \tau_ n>0\) with probability one and \(\tau_ n\to \infty\) as \(n\to \infty\) with probability one, so that the construction can be carried out on the time interval [0,\(\infty)\).