Degenerate irregular SDEs with jumps and application to integro-differential equations of Fokker-Planck type

Xicheng Zhang

doi:10.1214/EJP.v18-2820

Degenerate irregular SDEs with jumps and application to integro-differential equations of Fokker-Planck type

Xicheng Zhang

Wuhan University

Research output: Contribution to journal › Article › peer-review

14 Citations (Scopus)

Abstract

We investigate stochastic differential equations with jumps and irregular coefficients, and obtain the existence and uniqueness of generalized stochastic flows. Moreover, we also prove the existence and uniqueness of L^p-solutions or measure-valued solutions for second order integro-differential equation of Fokker-Planck type.

Original language	English
Pages (from-to)	1-25
Number of pages	25
Journal	Electronic Journal of Probability
Volume	18
DOIs	https://doi.org/10.1214/EJP.v18-2820
Publication status	Published - 2013
Externally published	Yes

Keywords

DiPerna-Lions theory
Fokker- Planck equations
Generalized stochastic flows
Poisson point processes

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10.1214/EJP.v18-2820

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title = "Degenerate irregular SDEs with jumps and application to integro-differential equations of Fokker-Planck type",

abstract = "We investigate stochastic differential equations with jumps and irregular coefficients, and obtain the existence and uniqueness of generalized stochastic flows. Moreover, we also prove the existence and uniqueness of Lp-solutions or measure-valued solutions for second order integro-differential equation of Fokker-Planck type.",

keywords = "DiPerna-Lions theory, Fokker- Planck equations, Generalized stochastic flows, Poisson point processes",

author = "Xicheng Zhang",

year = "2013",

doi = "10.1214/EJP.v18-2820",

language = "English",

volume = "18",

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journal = "Electronic Journal of Probability",

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T1 - Degenerate irregular SDEs with jumps and application to integro-differential equations of Fokker-Planck type

AU - Zhang, Xicheng

PY - 2013

Y1 - 2013

N2 - We investigate stochastic differential equations with jumps and irregular coefficients, and obtain the existence and uniqueness of generalized stochastic flows. Moreover, we also prove the existence and uniqueness of Lp-solutions or measure-valued solutions for second order integro-differential equation of Fokker-Planck type.

AB - We investigate stochastic differential equations with jumps and irregular coefficients, and obtain the existence and uniqueness of generalized stochastic flows. Moreover, we also prove the existence and uniqueness of Lp-solutions or measure-valued solutions for second order integro-differential equation of Fokker-Planck type.

KW - DiPerna-Lions theory

KW - Fokker- Planck equations

KW - Generalized stochastic flows

KW - Poisson point processes

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U2 - 10.1214/EJP.v18-2820

DO - 10.1214/EJP.v18-2820

M3 - Article

AN - SCOPUS:84878186280

SN - 1083-6489

VL - 18

SP - 1

EP - 25

JO - Electronic Journal of Probability

JF - Electronic Journal of Probability

ER -

Degenerate irregular SDEs with jumps and application to integro-differential equations of Fokker-Planck type

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Keywords

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