Lithuanian Mathematical Journal

, Volume 40, Issue 3, pp 277–295

On one-dimensional stochastic differential equations driven by stable processes


  • H. Pragarauskas
    • Institute of Mathematics and Informatics
  • P. A. Zanzotto
    • Department of MathematicsUniversity of Pisa

DOI: 10.1007/BF02465137

Cite this article as:
Pragarauskas, H. & Zanzotto, P.A. Lith Math J (2000) 40: 277. doi:10.1007/BF02465137


We consider the one-dimensional stochastic differential equation dXt=b(t, Xt−) dZt, whereZ is a symmetric α-stable Lévy process with α ε (1, 2] andb is a Borel function. We give sufficient conditions under which the equation has a weak nonexploding solution.


symmetric α-stable Lévy processstable integralstochastic differential equationweak nonexploding solutionSkorokhod representation theoremL2-estimate

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© Kluwer Academic/Plenum Publishers 2000