Anticipating linear stochastic differential equations driven by a Lévy process

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dc.contributor.authorLeón, J. A. (León Vázquez, Jorge A.)
dc.contributor.authorMárquez, David (Márquez Carreras)
dc.contributor.authorVives i Santa Eulàlia, Josep, 1963-
dc.date.accessioned2013-05-15T09:03:38Z
dc.date.available2013-05-15T09:03:38Z
dc.date.issued2012-10-05
dc.date.updated2013-05-15T09:03:38Z
dc.description.abstractIn 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.extent26 p.
dc.format.mimetypeapplication/pdf
dc.identifier.idgrec625911
dc.identifier.issn1083-6489
dc.identifier.urihttps://hdl.handle.net/2445/43446
dc.language.isoeng
dc.publisherInstitute of Mathematical Statistics (IMS) and the Bernoulli Society for Mathematical Statistics and Probability
dc.relation.isformatofReproducció del document publicat a: http://dx.doi.org/10.1214/EJP.v17-1910
dc.relation.ispartofElectronic Journal of Probability, 2012, vol. 17, num. 89, p. 1-26
dc.relation.urihttp://dx.doi.org/10.1214/EJP.v17-1910
dc.rightscc-by (c) León, J. A. (León Vázquez, Jorge A.) et al., 2012
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/es
dc.sourceArticles publicats en revistes (Matemàtiques i Informàtica)
dc.subject.classificationAnàlisi estocàstica
dc.subject.classificationProcessos estocàstics
dc.subject.otherAnalyse stochastique
dc.subject.otherStochastic processes
dc.titleAnticipating linear stochastic differential equations driven by a Lévy process
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion

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