Stochastic equations with time-dependent drift driven by Levy processes

Research paper by V. P. Kurenok

Indexed on: 06 Apr '06Published on: 06 Apr '06Published in: Mathematics - Probability


Using the method of Krylov's estimates, we prove the existence of weak solutions of stochastic differential equations driven by purely discontinuous Levy processes satisfying an additional assumption. The diffusion coefficient is assumed to be one and the time-dependent drift is measurable and bounded.