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Unique strong solutions of Levy processes driven stochastic differential equations with discontinuous coefficients

Published 18 Dec 2016 in math.PR | (1612.05875v3)

Abstract: We establish the existence and uniqueness for a one-dimensional stochastic differential equation driven by a Brownian motion and a pure jump {\levy} process. It is shown that under fairly general conditions on the coefficients, pathwise uniqueness holds based on the methods of weak uniqueness and local time technique.

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