Concepedia

Path-wise solutions of stochastic differential equations driven by Lévy processes

David R.E. Williams

Revista Matemática Iberoamericana · 2001 · 36 citations · 5 references

Open access

Concepts

EngineeringMathematicsDifferential EquationsProbability TheoryStochastic ProcessesContinuous-time Stochastic ProcessesIntegral EquationsJump ProcessesLévy ProcessesStochastic CalculusStochastic Differential EquationsJump-diffusion ProcessesLévy AreaLévy-driven Stochastic Differential EquationsStochastic Integration

Abstract

In this paper we show that a path-wise solution to the following integral equation

References

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Natural Sciences, Property Law, Probability Theory +3

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Engineering, Mathematics, Markov Decision Processes +14

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Engineering, Mathematics, Probability Theory +13

Stochastic area for Brownian motion on the Sierpinski gasket

Ben Hambly, Terry Lyons · The Annals of Probability · 1998 · 40 citations · Full text

Engineering, Mathematics, Probability Theory +14

Stochastic Integral Equations without Probability

Thomas Mikosch, Rimas Norvaiša, Rimas Norvaiša · Bernoulli · 2000 · 34 citations · Full text

Engineering, Mathematics, Probability Theory +12