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2012-10-05

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cc-by (c) León, J. A. (León Vázquez, Jorge A.) et al., 2012
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/43446

Anticipating linear stochastic differential equations driven by a Lévy process

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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].

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http://dx.doi.org/10.1214/EJP.v17-1910

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Anàlisi estocàstica, Processos estocàstics

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Analyse stochastique, Stochastic processes

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Articles publicats en revistes (Matemàtiques i Informàtica)

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LEÓN, J. A. (León Vázquez, MÁRQUEZ, David (Márquez Carreras) and VIVES I SANTA EULÀLIA, Josep. Anticipating linear stochastic differential equations driven by a Lévy process. Electronic Journal of Probability. 2012. Vol. 17, num. 89, pags. 1-26. ISSN 1083-6489. [consulted: 7 of October of 2026]. Available at: https://hdl.handle.net/2445/43446

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