Weak solutions to gamma-driven stochastic differential equations
Journal article, 2023
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.
Gamma process
Stochastic differential equation
Author
Denis Belomestny
National Research University Higher School of Economics
University of Duisburg-Essen
Shota Gugushvili
Wageningen University and Research
Moritz Schauer
University of Gothenburg
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
Peter Spreij
Korteweg-de Vries Institute for Mathematics
Radboud University
Indagationes Mathematicae
0019-3577 (ISSN)
Vol. 34 4 820-829Subject Categories
Computational Mathematics
Probability Theory and Statistics
Mathematical Analysis
DOI
10.1016/j.indag.2023.03.004