The approximate Euler method for Lévy driven stochastic differential equations
Jean Jacod, Thomas G. Kurtz, Sylvie Méléard, Philip Protter (2005)
Annales de l'I.H.P. Probabilités et statistiques
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Displaying similar documents to “Anticipative calculus with respect to filtered Poisson processes”
The approximate Euler method for Lévy driven stochastic differential equations
Moments of passage times for Lévy processes
R. A. Doney, R. A. Maller (2004)
Annales de l'I.H.P. Probabilités et statistiques
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Distribution-valued iterated gradient and chaotic decompositions of Poisson jump times functionals.
Nicolas Privault (2002)
Publicacions Matemàtiques
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We define a class of distributions on Poisson space which allows to iterate a modification of the gradient of [1]. As an application we obtain, with relatively short calculations, a formula for the chaos expansion of functionals of jump times of the Poisson process.
Poisson stochastic integration in Hilbert spaces
Nicolas Privault, Jiang-Lun Wu (1999)
Annales mathématiques Blaise Pascal
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An operator-valued stochastic integral, II
D. Kannan (1972)
Annales de l'I.H.P. Probabilités et statistiques
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A stochastic min-driven coalescence process and its hydrodynamical limit
Anne-Laure Basdevant, Philippe Laurençot, James R. Norris, Clément Rau (2011)
Annales de l'I.H.P. Probabilités et statistiques
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A stochastic system of particles is considered in which the sizes of the particles increase by successive binary mergers with the constraint that each coagulation event involves a particle with minimal size. Convergence of a suitably renormalized version of this process to a deterministic hydrodynamical limit is shown and the time evolution of the minimal size is studied for both deterministic and stochastic models.