摘要
The existence of a pathwise unique strong solution for the stochastic differentialequation(S.D.E.)with Poisson jumps in n-dimensional space without continuityassumption on drift coefficient,which even can be greater than linear growth,andwithout Lipschitz condition on diffusion coefficients is obtained.Then the existence of apathwise stochastic optimal Bang-Bang control for a very much non-linear systemwithPoisson jumps in n-dimensional space is derived.The result is also applied to obtain amaximum likelihood estimate(MLE) of parameter for some continuous,S.D.E.withnon-Lipschitz oeffieients in n-dimensional space.
The existence of a pathwise unique strong solution for the stochastic differential equation(S.D.E.)with Poisson jumps in n-dimensional space without continuity assumption on drift coefficient,which even can be greater than linear growth,and without Lipschitz condition on diffusion coefficients is obtained.Then the existence of a pathwise stochastic optimal Bang-Bang control for a very much non-linear systemwith Poisson jumps in n-dimensional space is derived.The result is also applied to obtain a maximum likelihood estimate(MLE) of parameter for some continuous,S.D.E.with non-Lipschitz oeffieients in n-dimensional space.
基金
This work is supported in part by the Foundation of Zhongshan University Advanced Research Center,
