Existence and uniqueness of global strong solutions for SDEs with jumps under a new sufficient condition

Guangqiang Lan, Jiang-Lun Wu

Published 2014-04-04, updated 2014-04-14Version 3

In this paper, we investigate new sufficient conditions to ensure the existence of a unique global strong solution of stochastic differential equations with jumps. By using Euler approximation and by utilising a new test function $\varphi_\delta$ (see the following definition (\ref{pntas1})), we prove that there is a unique global strong solution for the initial value problem of the equation. The condition we posed is even weaker than the local Lipschitzian continuity of the coefficients. We also present an example to show that our conditions are indeed weaker than those relevant conditions existing in the literature.