most citedA time inhomogeneous Cox-Ingersoll-Ross diffusion with jumps

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math.PR2009★ 2 cited

A time inhomogeneous Cox-Ingersoll-Ross diffusion with jumps

Reinhard Hoepfner

We consider a time inhomogeneous Cox-Ingersoll-Ross diffusion with positive jumps. We exploit a branching property to prove existence of a unique strong solution under a restrictiv…

math.PR2009

An extension of the Yamada-Watanabe condition for pathwise uniqueness to stochastic differential equations with jumps

Reinhard Hoepfner

We extend the Yamada-Watanabe condition for pathwise uniqueness to stochastic differential equations with jumps, in the special case where small jumps are summable.