Anticipating linear stochastic differential equations driven by a Lévy process

León, J. A. (León Vázquez, Jorge A.); Márquez, David (Márquez Carreras); Vives i Santa Eulàlia, Josep

Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/43446

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DC Field	Value	Language
dc.contributor.author	León, J. A. (León Vázquez, Jorge A.)	-
dc.contributor.author	Márquez, David (Márquez Carreras)	-
dc.contributor.author	Vives i Santa Eulàlia, Josep, 1963-	-
dc.date.accessioned	2013-05-15T09:03:38Z	-
dc.date.available	2013-05-15T09:03:38Z	-
dc.date.issued	2012-10-05	-
dc.identifier.issn	1083-6489	-
dc.identifier.uri	http://hdl.handle.net/2445/43446	-
dc.description.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].	-
dc.format.extent	26 p.	-
dc.format.mimetype	application/pdf	-
dc.language.iso	eng	-
dc.publisher	Institute of Mathematical Statistics (IMS) and the Bernoulli Society for Mathematical Statistics and Probability	-
dc.relation.isformatof	Reproducció del document publicat a: http://dx.doi.org/10.1214/EJP.v17-1910	-
dc.relation.ispartof	Electronic Journal of Probability, 2012, vol. 17, num. 89, p. 1-26	-
dc.relation.uri	http://dx.doi.org/10.1214/EJP.v17-1910	-
dc.rights	cc-by (c) León, J. A. (León Vázquez, Jorge A.) et al., 2012	-
dc.rights.uri	http://creativecommons.org/licenses/by/3.0/es	-
dc.source	Articles publicats en revistes (Matemàtiques i Informàtica)	-
dc.subject.classification	Anàlisi estocàstica	-
dc.subject.classification	Processos estocàstics	-
dc.subject.other	Analyse stochastique	-
dc.subject.other	Stochastic processes	-
dc.title	Anticipating linear stochastic differential equations driven by a Lévy process	-
dc.type	info:eu-repo/semantics/article	-
dc.type	info:eu-repo/semantics/publishedVersion	-
dc.identifier.idgrec	625911	-
dc.date.updated	2013-05-15T09:03:38Z	-
dc.rights.accessRights	info:eu-repo/semantics/openAccess	-
Appears in Collections:	Articles publicats en revistes (Matemàtiques i Informàtica)

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