A Comparison Principle for Stochastic Integro-Differential Equations

Konstantinos Anastasios Dareiotis*, Istvan Gyongy

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


A comparison principle for stochastic integro-differential equations driven by L,vy processes is proved. This result is obtained via an extension of an It formula, proved by N.V. Krylov, for the square of the norm of the positive part of L (2) - valued, continuous semimartingales, to the case of discontinuous semimartingales.

Original languageEnglish
Pages (from-to)1203-1222
Number of pages20
JournalPotential analysis
Issue number4
Publication statusPublished - Nov 2014


  • Comparison principle
  • Ito's formula
  • SPDE
  • Levy processes


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