Weak solutions to gamma-driven stochastic differential equations

IF 0.5 4区数学 Q3 MATHEMATICS

Indagationes Mathematicae-New Series Pub Date : 2023-07-01 DOI:10.1016/j.indag.2023.03.004

Denis Belomestny , Shota Gugushvili , Moritz Schauer , Peter Spreij

引用次数: 2

Abstract

We study a stochastic differential equation driven by a gamma process, for which we give results on the existence of weak solutions under conditions on the volatility function. To that end we provide results on the density process between the laws of solutions with different volatility functions.

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随机微分方程的弱解

研究了一类伽玛过程驱动的随机微分方程，给出了该方程在波动函数条件下弱解的存在性。为此，我们给出了具有不同挥发性函数的溶液的密度过程的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Indagationes Mathematicae-New Series 数学-数学

CiteScore

1.20

自引率

16.70%

发文量

审稿时长

79 days

期刊介绍： Indagationes Mathematicae is a peer-reviewed international journal for the Mathematical Sciences of the Royal Dutch Mathematical Society. The journal aims at the publication of original mathematical research papers of high quality and of interest to a large segment of the mathematics community. The journal also welcomes the submission of review papers of high quality.