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Limit theorems of stochastic differential equations with jumps

Part of: Stochastic analysis

Published online by Cambridge University Press:  16 June 2025

Huijie Qiao Open the ORCID record for Huijie Qiao [Opens in a new window]
Huijie Qiao*
Affiliation:
Southeast University
*
*Postal address: School of Mathematics, Southeast University Nanjing, Jiangsu 211189, China; Department of Mathematics, University of Illinois at Urbana-Champaign Urbana, IL 61801, USA. Email: hjqiaogean@seu.edu.cn
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Abstract

This work concerns stochastic differential equations with jumps. We prove convergence for solutions to a sequence of (possibly degenerate) stochastic differential equations with jumps when the coefficients converge in some appropriate sense. Then some special cases are analyzed and some concrete and verifiable conditions are given.

Keywords

Weak solutionsmartingale solutionsFokker–Planck equationssuperposition principles

MSC classification

Primary: 60H10: Stochastic ordinary differential equations
Type
Original Article
Information
Journal of Applied Probability , First View , pp. 1 - 17
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Copyright
© The Author(s), 2025. Published by Cambridge University Press on behalf of Applied Probability Trust

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