no code implementations • 7 Feb 2021 • Ying Jiao, Nikolaos Kolliopoulos
We establish well-posedness for a class of systems of SDEs with non-Lipschitz coefficients in the diffusion and jump terms and with two sources of interdependence: a monotone function of all the components in the drift of each SDE and the correlation between the driving Brownian motions and jump random measures.
Probability 60H10, 60G57, 60J76, 34F05
