Existence and uniqueness of stochastic equations of optional semimartingales under monotonicity condition

DOI10.1080/17442508.2019.1602129zbMath1490.60194OpenAlexW2936677704WikidataQ128051906 ScholiaQ128051906MaRDI QIDQ5086474

Mohamed N. Abdelghani, Alexander V. Melnikov

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2019.1602129

zbMATH Keywords

comparison theoremstochastic differential equationsbackward stochastic differential equationsGronwall lemmastochastic integral equationsnon-Lipschitz conditionsPicard approximationoptional semimartingalesladlag processesstochastic particles collision

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Related Items (4)

On comparison theorem for optional SDEs via local times and applications ⋮ On reflection with two-sided jumps ⋮ Parameter estimation in optional semimartingale regression models ⋮ On reflected stochastic differential equations driven by regulated semimartingales

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