Well-posedness of a system of SDEs driven by jump random measures
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2021
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| _version_ | 1866908903477870592 |
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| author | Jiao, Ying Kolliopoulos, Nikolaos |
| author_facet | Jiao, Ying Kolliopoulos, Nikolaos |
| contents | We establish well-posedness for a class of systems of SDEs with non-Lipschitz coefficients in the diffusion and jump terms and with two sources of interdependence: a monotone function of all the components in the drift of each SDE and the correlation between the driving Brownian motions and jump random measures. Pathwise uniqueness is derived by employing some standard techniques. Then, we use a comparison theorem along with our uniqueness result to construct non-negative, $L^1$-integrable càdlàg solutions as monotone limits of solutions to approximating SDEs, allowing for time-inhomogeneous drift terms to be included. Our approach allows also for a comparison property to be established for the solutions to the systems we investigate. The applicability of certain systems in financial modeling is also discussed. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2102_03918 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Well-posedness of a system of SDEs driven by jump random measures Jiao, Ying Kolliopoulos, Nikolaos Probability 60H10, 60G57, 60J76, 34F05 We establish well-posedness for a class of systems of SDEs with non-Lipschitz coefficients in the diffusion and jump terms and with two sources of interdependence: a monotone function of all the components in the drift of each SDE and the correlation between the driving Brownian motions and jump random measures. Pathwise uniqueness is derived by employing some standard techniques. Then, we use a comparison theorem along with our uniqueness result to construct non-negative, $L^1$-integrable càdlàg solutions as monotone limits of solutions to approximating SDEs, allowing for time-inhomogeneous drift terms to be included. Our approach allows also for a comparison property to be established for the solutions to the systems we investigate. The applicability of certain systems in financial modeling is also discussed. |
| title | Well-posedness of a system of SDEs driven by jump random measures |
| topic | Probability 60H10, 60G57, 60J76, 34F05 |
| url | https://arxiv.org/abs/2102.03918 |