Stochastic Equations with Time-Dependent Drift Driven by Levy Processes
| Autor: | V. P. Kurenok |
|---|---|
| Rok vydání: | 2007 |
| Předmět: |
Statistics and Probability
Weak convergence General Mathematics Probability (math.PR) Mathematical analysis FOS: Physical sciences Mathematical Physics (math-ph) 60H10 60J60 60J65 60G44 Lévy process Bounded function FOS: Mathematics Applied mathematics Initial value problem Statistics Probability and Uncertainty Mathematics - Probability Mathematical Physics Characteristic exponent Mathematics |
| Zdroj: | Journal of Theoretical Probability. 20:859-869 |
| ISSN: | 1572-9230 0894-9840 |
| DOI: | 10.1007/s10959-007-0086-x |
| Popis: | Using the method of Krylov's estimates, we prove the existence of weak solutions of stochastic differential equations driven by purely discontinuous Levy processes satisfying an additional assumption. The diffusion coefficient is assumed to be one and the time-dependent drift is measurable and bounded. 12 pages |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full text from SpringerLink