Strong solutions for stochastic differential equations with jumps

General stochastic equations with jumps are studied. We provide criteria for the uniqueness and existence of strong solutions under non-Lipschitz conditions of Yamada-Watanabe type. The results are applied to stochastic equations driven by spectrally positive L\'evy processes.Comment: 16 page

Skew convolution semigroups and affine Markov processes

A general affine Markov semigroup is formulated as the convolution of a homogeneous one with a skew convolution semigroup. We provide some sufficient conditions for the regularities of the homogeneous affine semigroup and the skew convolution semigroup. The corresponding affine Markov process is constructed as the strong solution of a system of stochastic equations with non-Lipschitz coefficients and Poisson-type integrals over some random sets. Based on this characterization, it is proved that the affine process arises naturally in a limit theorem for the difference of a pair of reactant processes in a catalytic branching system with immigration.Comment: Published at http://dx.doi.org/10.1214/009117905000000747 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org