Stratonovich stochastic differential equations driven by general semimartingales
Thomas G. Kurtz; Étienne Pardoux; Philip Protter
Annales de l'I.H.P. Probabilités et statistiques (1995)
- Volume: 31, Issue: 2, page 351-377
- ISSN: 0246-0203
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topKurtz, Thomas G., Pardoux, Étienne, and Protter, Philip. "Stratonovich stochastic differential equations driven by general semimartingales." Annales de l'I.H.P. Probabilités et statistiques 31.2 (1995): 351-377. <http://eudml.org/doc/77513>.
@article{Kurtz1995,
author = {Kurtz, Thomas G., Pardoux, Étienne, Protter, Philip},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {stochastic differential equations; semimartingale; change of variable formula holds; Stratonovich equation},
language = {eng},
number = {2},
pages = {351-377},
publisher = {Gauthier-Villars},
title = {Stratonovich stochastic differential equations driven by general semimartingales},
url = {http://eudml.org/doc/77513},
volume = {31},
year = {1995},
}
TY - JOUR
AU - Kurtz, Thomas G.
AU - Pardoux, Étienne
AU - Protter, Philip
TI - Stratonovich stochastic differential equations driven by general semimartingales
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1995
PB - Gauthier-Villars
VL - 31
IS - 2
SP - 351
EP - 377
LA - eng
KW - stochastic differential equations; semimartingale; change of variable formula holds; Stratonovich equation
UR - http://eudml.org/doc/77513
ER -
References
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Citations in EuDML Documents
top- Serge Cohen, Anne Estrade, Régularisation d'équations de Stratonovitch à sauts entre variétés
- Thomas Simon, Support d'une équation d'Itô avec sauts en dimension 1
- Anne Estrade, A characterization of Markov solutions for stochastic differential equations with jumps
- Serge Cohen, Anne Estrade, Non-symmetric approximations for manifold-valued semimartingales
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