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math.PR2021
Set-valued Ito's formula with an application to the general set-valued backward stochastic differential equation
Yao-jia Zhang, Zhun Gou, Nan-jing Huang
The overarching goal of this paper is to establish a set-valued Itô's formula. As an application, we obtain the existence and uniqueness of solutions for the general set-valued bac…
math.PR2019
Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients
Zhun Gou, Ming-hui Wang, Nan-jing Huang
In this paper, the existence and pathwise uniqueness of strong solutions for jump-type stochastic differential equations are investigated under non-Lipschitz conditions. A sufficie…