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A comparison principle for stochastic integro-differential equations
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2012-10-22
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Abstract
A comparison principle for stochastic integro-differential equations driven by Levy processes is proved. This result is obtained via an extension of an Ito formula from [11] for the square of the norm of the positive part of \(L_2-\)valued, continuous semimartingales, to the case of discontinuous semimartingales.