EUDML | Some Markov properties of stochastic differential equations with jumps

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Displaying similar documents to “Some Markov properties of stochastic differential equations with jumps”

Penalisation of a stable Lévy process involving its one-sided supremum

Kouji Yano, Yuko Yano, Marc Yor (2010)

Annales de l'I.H.P. Probabilités et statistiques

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Penalisation involving the one-sided supremum for a stable Lévy process with index ∈(0, 2] is studied. We introduce the analogue of Azéma–Yor martingales for a stable Lévy process and give the law of the overall supremum under the penalised measure.

A horizontal Lévy process on the bundle of orthonormal frames over a complete riemannian manifold

David Applebaum (1995)

Séminaire de probabilités de Strasbourg

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Stochastic differential equations driven by symmetric stable processes

Richard F. Bass (2002)

Séminaire de probabilités de Strasbourg

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Some consequences of the cyclic exchangeability property for exponential functionals of Lévy processes

Loïc Chaumont, David G. Hobson, Marc Yor (2001)

Séminaire de probabilités de Strasbourg

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On the lengths of excursions of some Markov processes

James W. Pitman, Marc Yor (1997)

Séminaire de probabilités de Strasbourg

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Perturbed Bessel processes

R.A. Doney, Jonathan Warren, Marc Yor (1998)

Séminaire de probabilités de Strasbourg

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Stochastic processes from 1950 to the present.

Meyer, Paul-André (2009)

Journal Électronique d'Histoire des Probabilités et de la Statistique [electronic only]

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Some remarks on perturbed reflecting brownian motion

Wendelin Werner (1995)

Séminaire de probabilités de Strasbourg

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