Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/43446
Title: Anticipating linear stochastic differential equations driven by a Lévy process
Author: León, J. A. (León Vázquez, Jorge A.)
Márquez, David (Márquez Carreras)
Vives i Santa Eulàlia, Josep, 1963-
Keywords: Anàlisi estocàstica
Processos estocàstics
Analyse stochastique
Stochastic processes
Issue Date: 5-Oct-2012
Publisher: Institute of Mathematical Statistics (IMS) and the Bernoulli Society for Mathematical Statistics and Probability
Abstract: In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a Lévy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying filtration. Towards this end, we extend the method based on Girsanov transformations on Wiener space and developped by Buckdahn [7] to the canonical Lévy space, which is introduced in [25].
Note: Reproducció del document publicat a: http://dx.doi.org/10.1214/EJP.v17-1910
It is part of: Electronic Journal of Probability, 2012, vol. 17, num. 89, p. 1-26
Related resource: http://dx.doi.org/10.1214/EJP.v17-1910
URI: http://hdl.handle.net/2445/43446
ISSN: 1083-6489
Appears in Collections:Articles publicats en revistes (Matemàtiques i Informàtica)

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