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2013 | OriginalPaper | Buchkapitel

Approximation and Stability of Solutions of SDEs Driven by a Symmetric α Stable Process with Non-Lipschitz Coefficients

verfasst von : Hiroya Hashimoto

Erschienen in: Séminaire de Probabilités XLV

Verlag: Springer International Publishing

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Abstract

Firstly, we investigate Euler–Maruyama approximation for solutions of stochastic differential equations (SDEs) driven by a symmetric α 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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Titel: Approximation and Stability of Solutions of SDEs Driven by a Symmetric α Stable Process with Non-Lipschitz Coefficients
verfasst von: Hiroya Hashimoto
Verlag: Springer International Publishing
Buch: Séminaire de Probabilités XLV
Print ISBN: 978-3-319-00320-7

Electronic ISBN: 978-3-319-00321-4

Copyright-Jahr: 2013
DOI: https://doi.org/10.1007/978-3-319-00321-4_7