dc.contributor.author
León, J. A. (León Vázquez, Jorge A.)
dc.contributor.author
Márquez, David (Márquez Carreras)
dc.contributor.author
Vives i Santa Eulàlia, Josep, 1963-
dc.date.issued
2013-05-15T09:03:38Z
dc.date.issued
2013-05-15T09:03:38Z
dc.date.issued
2012-10-05
dc.date.issued
2013-05-15T09:03:38Z
dc.identifier
https://hdl.handle.net/2445/43446
dc.description.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].
dc.format
application/pdf
dc.format
application/pdf
dc.publisher
Institute of Mathematical Statistics (IMS) and the Bernoulli Society for Mathematical Statistics and Probability
dc.relation
Reproducció del document publicat a: http://dx.doi.org/10.1214/EJP.v17-1910
dc.relation
Electronic Journal of Probability, 2012, vol. 17, num. 89, p. 1-26
dc.relation
http://dx.doi.org/10.1214/EJP.v17-1910
dc.rights
cc-by (c) León, J. A. (León Vázquez, Jorge A.) et al., 2012
dc.rights
http://creativecommons.org/licenses/by/3.0/es
dc.rights
info:eu-repo/semantics/openAccess
dc.source
Articles publicats en revistes (Matemàtiques i Informàtica)
dc.subject
Anàlisi estocàstica
dc.subject
Processos estocàstics
dc.subject
Analyse stochastique
dc.subject
Stochastic processes
dc.title
Anticipating linear stochastic differential equations driven by a Lévy process
dc.type
info:eu-repo/semantics/article
dc.type
info:eu-repo/semantics/publishedVersion
