Consider the stochastic integral equation (S.I.E.) where f satisfies some non-Lipschitz condition and H,Z are F t -semimartingales, continuous or discontinuous, on some probability space (Ω,F,{F t } tR + ,P). We prove that if f satisfies Condition H 1 or H 2 (defined in Sec. 0), then both the existence and the uniqueness of the solutions of 1 hold.
Relation:
Stochastic Analysis and Applications, 20(2): 283-298
