Existence and uniqueness of solutions of SDEs with discontinuous drift and finite activity jumps

Abstract

In this letter we prove existence and uniqueness of strong solutions to multi-dimensional SDEs with discontinuous drift and finite activity jumps.

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• Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
• Stochastic differential equations with irregular coefficients:~mind the gap!
• Bicausal optimal transport for SDEs with irregular coefficients