Properties of solutions of stochastic differential equations with random coefficients, non-Lipschitzian diffusion, and Poisson measures
Анотація
The existence and uniqueness of a solution of a stochastic differential equation with random coefficients, non-Lipschitzian diffusion, and with centered as well as with non-centered Poisson measures are proved. We estimate the probability that a solution eventually becomes negative. We find conditions for the existence of a nonnegative solution.
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