Stochastic equations with time-dependent drift driven by Levy processes

Details Stochastic equations with time-dependent drift driven by Levy processes Stochastic equations with time-dependent drift driven by Levy processes

2006-04-06

arxiv.org/abs/math/0604136v1

Mathematics

Probability

12 pages

Scientific paper

Using the method of Krylov's estimates, we prove the existence of weak
solutions of stochastic differential equations driven by purely discontinuous
Levy processes satisfying an additional assumption. The diffusion coefficient
is assumed to be one and the time-dependent drift is measurable and bounded.

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