Existence of solutions to a system of SDEs with mean-field drift and jump random measures - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2021

Existence of solutions to a system of SDEs with mean-field drift and jump random measures

Ying Jiao
  • Fonction : Auteur
  • PersonId : 172285
  • IdHAL : ying-jiao
Nikolaos Kolliopoulos
  • Fonction : Auteur

Résumé

We study the well-posedness of a system of multi-dimensional SDEs which are correlated through a non-homogeneous mean-field term in each drift and also by driving Brownian motions and jump random measures. Supposing the drift coefficients are non-Lipschitz, we prove for the system the existence of strong, L 1-integrable, càdlàg solution which can be obtained as monotone limit of solutions to some approximating systems, extending existing results for one-dimensional jump SDE with non-Lipschitz coefficients. We show in addition that the solutions are positive.
Fichier principal
Vignette du fichier
JK_SDEmeanfield.pdf (280.81 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-03244356 , version 1 (01-06-2021)

Identifiants

  • HAL Id : hal-03244356 , version 1

Citer

Ying Jiao, Nikolaos Kolliopoulos. Existence of solutions to a system of SDEs with mean-field drift and jump random measures. 2021. ⟨hal-03244356⟩
24 Consultations
32 Téléchargements

Partager

Gmail Facebook X LinkedIn More