Support d'une équation d'Itô avec sauts en dimension 1

Thomas Simon

Séminaire de probabilités de Strasbourg (2002)

  • Volume: 36, page 314-330

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Simon, Thomas. "Support d'une équation d'Itô avec sauts en dimension 1." Séminaire de probabilités de Strasbourg 36 (2002): 314-330. <http://eudml.org/doc/114094>.

@article{Simon2002,
author = {Simon, Thomas},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Itô equations; Marcus equations; Lévy processes; support},
language = {fre},
pages = {314-330},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Support d'une équation d'Itô avec sauts en dimension 1},
url = {http://eudml.org/doc/114094},
volume = {36},
year = {2002},
}

TY - JOUR
AU - Simon, Thomas
TI - Support d'une équation d'Itô avec sauts en dimension 1
JO - Séminaire de probabilités de Strasbourg
PY - 2002
PB - Springer - Lecture Notes in Mathematics
VL - 36
SP - 314
EP - 330
LA - fre
KW - Itô equations; Marcus equations; Lévy processes; support
UR - http://eudml.org/doc/114094
ER -

References

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  2. [2] S. Cohen. Géométrie différentielle stochastique avec sauts I et II. Stoch. and Stoch. Reports56, pp. 179-225, 1996. Zbl0911.58044MR1396760
  3. [3] H. Doss. Liens entre équations différentielles stochastiques et ordinaires. Ann. I.H.P. Prob. Stat. XIII, pp. 99-125, 1977. Zbl0359.60087MR451404
  4. [4] M. Errami, F. Russo et P. Vallois. Itô formula for C1,λ functions of a càdlàg process and related calculus. À paraître dans Probab. Theory Relat. Fields. Zbl0999.60048MR1894067
  5. [5] N. Fournier. Support theorem for the solution of a white noise driven parabolic S.P.D.E. with temporal Poissonian jumps. À paraître dans Bernoulli. Zbl0980.60090MR1811749
  6. [6] B. Fristedt. Sample functions of stochastic processes with stationary, independent increments. Dans : Advances in Probability and Related Topics3, pp. 241-396. Dekker, New York, 1974. Zbl0309.60047MR400406
  7. [7] N. Ikeda et S. Watanabe. Stochastic differential equations and diffusion processes. North-Holland, 1989. Zbl0684.60040MR1011252
  8. [8] J. Jacod et A.N. Shiryaev. Limit theorems for stochastic processes. Springer, 1987. Zbl0635.60021MR959133
  9. [9] T.G. Kurtz, E. Pardoux et Ph. Protter. Stratonovich stochastic differential equations driven by general semimartingales. Ann. I.H.P. Prob. Stat.31, pp. 351-377, 1995. Zbl0823.60046MR1324812
  10. [10] J. Picard. On the existence of smooth densities for jump processes. Probab. Theory Rel. Fields105 (4), pp. 481-511, 1996. Zbl0853.60064MR1402654
  11. [11] E. Saint-Loubert-Bié. Étude d'une E.D.P.S. conduite par un bruit Poissonnien. Probab. Theory Rel. Fields111 (2), pp. 287-321, 1998. Zbl0939.60064MR1633586
  12. [12] M.J. Sharpe. Support of convolution semigroups and densities. Dans : Heyer (editeur), Probability measures on groups and related structuresXI, pp. 364-369. World Scientific Publishing, River Edge, 1995. Zbl0909.60052MR1414946
  13. [13] Th. Simon. Support theorem for jump processes. Stoch. Proc. Appl.89 (1), pp. 1-30, 2000. Zbl1045.60063MR1775224
  14. [14] Th. Simon. Support of a Marcus equation in dimension 1. Elec. Comm. Probab.5, pp. 149-157, 2000. Zbl0966.60051MR1800117
  15. [15] Th. Simon. Sur les petites déviations d'un processus de Lévy. Pot. Analysis14 (2), pp. 155-173, 2001. Zbl0969.60053MR1812440
  16. [16] D.W. Stroock et S.R.S. Varadhan. On the support of diffusion processes with applications to the strong maximum principle. Dans : Proc. 6th Berkeley Symp. Math. Stat. Prob.III, pp. 333-359. Univ. California Press, Berkeley, 1972. Zbl0255.60056MR400425
  17. [17] A. Tortrat. Le support des lois indéfiniment divisibles dans un groupe Abélien localement compact. Math. Z.197, pp. 231-250, 1988. Zbl0618.60013MR923491

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