Ergodicity of stochastic differential equations with jumps and singular coefficients
نویسندگان
چکیده
منابع مشابه
Stochastic Differential Equations with Jumps
Gradient estimates and a Harnack inequality are established for the semigroup associated to stochastic differential equations driven by Poisson processes. As applications, estimates of the transition probability density, the compactness and ultraboundedness of the semigroup are studied in terms of the corresponding invariant measure.
متن کاملStochastic differential equations with jumps,
This paper is a survey of uniqueness results for stochastic differential equations with jumps and regularity results for the corresponding harmonic functions. Subject classifications: Primary 60H10; Secondary 60H30, 60J75
متن کاملForward-Backward Doubly Stochastic Differential Equations with Random Jumps and Stochastic Partial Differential-Integral Equations
In this paper, we study forward-backward doubly stochastic differential equations driven by Brownian motions and Poisson process (FBDSDEP in short). Both the probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential-integral equations (SPDIEs in short) and stochastic Hamiltonian systems arising in stochastic optimal control problems with random jum...
متن کاملStochastic differential equations with random coefficients
In this paper we establish the existence and uniqueness of a solution for different types of stochastic differential equation with random initial conditions and random coefficients. The stochastic integral is interpreted as a generalized Stratonovich integral, and the techniques used to derive these results are mainly based on the path properties of the Brownian motion, and the definition of th...
متن کاملDifferential Equations with Jumps
In this paper, we study a multi-dimensional backward stochastic differential equation with jumps (BSDEJ) that has non-Lipschitz generator and unbounded random time horizon. For any p ∈ (1,∞), we show that the BSDEJ with a p-integrable terminal condition admits a unique L-type solution.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
سال: 2020
ISSN: 0246-0203
DOI: 10.1214/19-aihp959