تقرير
Weak solutions to gamma-driven stochastic differential equations
| العنوان: | Weak solutions to gamma-driven stochastic differential equations |
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| المؤلفون: | Belomestny, Denis, Gugushvili, Shota, Schauer, Moritz, Spreij, Peter |
| المصدر: | Indagationes Mathematicae 34(4), pp. 820-829 (July 2023) |
| سنة النشر: | 2021 |
| المجموعة: | Mathematics |
| مصطلحات موضوعية: | Mathematics - Probability, 60H10 |
| الوصف: | We study a stochastic differential equation driven by a gamma process, for which we give results on the existence of weak solutions under conditions on the volatility function. To that end we provide results on the density process between the laws of solutions with different volatility functions. Comment: arXiv admin note: substantial text overlap with arXiv:2011.08321 |
| نوع الوثيقة: | Working Paper |
| DOI: | 10.1016/j.indag.2023.03.004 |
| URL الوصول: | http://arxiv.org/abs/2108.11891 |
| رقم الأكسشن: | edsarx.2108.11891 |
| قاعدة البيانات: | arXiv |
| DOI: | 10.1016/j.indag.2023.03.004 |
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