Anticipating linear stochastic differential equations driven by a Lévy process

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Title:	Anticipating linear stochastic differential equations driven by a Lévy process
Author:	León, J. A. (León Vázquez, Jorge A.); Márquez, David (Márquez Carreras); Vives i Santa Eulàlia, Josep, 1963-
Other authors:	Universitat de Barcelona
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 transformations on Wiener space and developped by Buckdahn [7] to the canonical Lévy space, which is introduced in [25].
Subject(s):	-Anàlisi estocàstica -Processos estocàstics -Analyse stochastique -Stochastic processes
Rights:	cc-by (c) León, J. A. (León Vázquez, Jorge A.) et al., 2012 http://creativecommons.org/licenses/by/3.0/es
Document type:	Article Article - Published version
Published by:	Institute of Mathematical Statistics (IMS) and the Bernoulli Society for Mathematical Statistics and Probability
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