Weak solutions to gamma-driven stochastic differential equations
Artikel i vetenskaplig tidskrift, 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
Författare
Denis Belomestny
National Research University Higher School of Economics
Universität Duisburg-Essen
Shota Gugushvili
Wageningen University and Research
Moritz Schauer
Göteborgs universitet
Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik
Peter Spreij
Korteweg-de Vries Institute for Mathematics
Radboud Universiteit
Indagationes Mathematicae
0019-3577 (ISSN)
Vol. 34 4 820-829Ämneskategorier
Beräkningsmatematik
Sannolikhetsteori och statistik
Matematisk analys
DOI
10.1016/j.indag.2023.03.004