Approximation and stability of solutions of SDEs driven by a symmetric α stable process with non-Lipschitz coefficients

Details Approximation and stability of solutions of SDEs driven by a symmetric α stable process with non-Lipschitz coefficients Approximation and stability of solutions of SDEs driven by a symmetric α stable process with non-Lipschitz coefficients

2011-10-11

arxiv.org/abs/1110.2528v1

Mathematics

Probability

Scientific paper

Firstly, we investigate Euler-Maruyama approximation for solutions of stochastic differential equations (SDEs) driven by a symmetric \alpha\ stable process under Komatsu condition for coefficients. The approximation implies naturally the existence of strong solutions. Secondly, we study the stability of solutions under Komatsu condition, and also discuss it under Belfadli-Ouknine condition.

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