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2012 Anticipating linear stochastic differential equations driven by a Lévy process
Jorge Leon, David Márquez-Carreras, Josep Vives
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Electron. J. Probab. 17: 1-26 (2012). DOI: 10.1214/EJP.v17-1910

Abstract

In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a Lévy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying filtration. Towards this end, we extend the method based on Girsanov transformation on Wiener space and developped by Buckdahn [7] to the canonical Lévy space, which is introduced in [25].

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Jorge Leon. David Márquez-Carreras. Josep Vives. "Anticipating linear stochastic differential equations driven by a Lévy process." Electron. J. Probab. 17 1 - 26, 2012. https://doi.org/10.1214/EJP.v17-1910

Information

Accepted: 5 October 2012; Published: 2012
First available in Project Euclid: 4 June 2016

zbMATH: 1260.60108
MathSciNet: MR2988404
Digital Object Identifier: 10.1214/EJP.v17-1910

Subjects:
Primary: 60H10
Secondary: 60G51, 60H05, 60H07

JOURNAL ARTICLE
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