Communications in Mathematical Sciences

Volume 4 (2006)

Number 1

On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients

Pages: 129 – 154



Thilo Meyer-Brandis

Frank Proske


We give a method to represent strong solutions of stochastic differential equations driven by Lévy processes, explicitly. Furthermore we employ these explicit representations to study strong solutions of a certain class of SDE's, whose coefficients are not necessarily Lipschitz continuous.

Published 1 January 2006