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Path differentiation: further unification

Udayan Darji, Michael Evans (1995)

Fundamenta Mathematicae

A. M. Bruckner, R. J. O'Malley, and B. S. Thomson introduced path differentiation as a vehicle for unifying the theory of numerous types of generalized differentiation of real valued functions of a real variable. Part of their classification scheme was based on intersection properties of the underlying path systems. Here, additional light is shed on the relationships between these various types of path differentiation and it is shown how composite differentiation and first return differentiation...

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

David R. E. Williams (2001)

Revista Matemática Iberoamericana

In this paper we show that a path-wise solution to the following integral equationYt = ∫0t  f(Yt) dXt,     Y0 = a ∈ Rd,exists under the assumption that Xt is a Lévy process of finite p-variation for some p ≥ 1 and that f is an α-Lipschitz function for some α > p. We examine two types of solution, determined by the solution's behaviour at jump times of the process X, one we call geometric, the other forward. The geometric solution is obtained by adding fictitious time and solving an associated...

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