Abstract
In this paper we show that stochastic differential equations with jumps and non-Lipschitz coefficients have $(\xi,W,N_{p})$-pathwise unique strong solutions by the Euler--Maruyama approximation. Moreover, the Euler--Maruyama discretisation has an optimal strong convergence rate.
Citation
Huijie Qiao. "Euler--Maruyama approximation for SDEs with jumps and non-Lipschitz coefficients." Osaka J. Math. 51 (1) 47 - 67, January 2014.
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