A characterization of Markov solutions for stochastic differential equations with jumps
Anne Estrade (1997)
Séminaire de probabilités de Strasbourg
Similarity:
Anne Estrade (1997)
Séminaire de probabilités de Strasbourg
Similarity:
A. Plucińska (1971)
Applicationes Mathematicae
Similarity:
Jean Bertoin (2008)
Journal of the European Mathematical Society
Similarity:
It was shown in [2] that a Langevin process can be reflected at an energy absorbing boundary. Here, we establish that the law of this reflecting process can be characterized as the unique weak solution to a certain second order stochastic differential equation with constraints, which is in sharp contrast with a deterministic analog.
Z. Ivković, J. Vukmirović (1976)
Matematički Vesnik
Similarity:
Dorogovtsev, Andrey A. (2003)
International Journal of Mathematics and Mathematical Sciences
Similarity:
Borisenko, O.V., Borisenko, A.D., Malyshev, I.G. (1994)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Michał Kisielewicz (2006)
Discussiones Mathematicae Probability and Statistics
Similarity:
Some sufficient conditins for tightness of continuous stochastic processes is given. It is verified that in the classical tightness sufficient conditions for continuous stochastic processes it is possible to take a continuous nondecreasing stochastic process instead of a deterministic function one.
Zenghu Li, Leonid Mytnik (2011)
Annales de l'I.H.P. Probabilités et statistiques
Similarity:
General stochastic equations with jumps are studied. We provide criteria for the uniqueness and existence of strong solutions under non-Lipschitz conditions of Yamada–Watanabe type. The results are applied to stochastic equations driven by spectrally positive Lévy processes.
Cipriano, F., Ouerdiane, H., Vilela Mendes, R. (2009)
Fractional Calculus and Applied Analysis
Similarity:
Mathematics Subject Classification: 26A33, 76M35, 82B31 A stochastic solution is constructed for a fractional generalization of the KPP (Kolmogorov, Petrovskii, Piskunov) equation. The solution uses a fractional generalization of the branching exponential process and propagation processes which are spectral integrals of Levy processes.
Maurizio Serva (1988)
Annales de l'I.H.P. Physique théorique
Similarity: