Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes (Q966506): Difference between revisions

Developing a white noise framework for Lévy processes on Hilbert spaces, the authors study strong solutions of SDEs driven by such processes. This framework allows the explicit construction of the global strong solution.

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Mathematics Subject Classification ID

60H10

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Lévy processes

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stochastic differential equations

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white noise analysis

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reviewed by

Andrew I. Dale

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MaRDI profile type

MaRDI publication profile

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Towards a general theory of bond markets

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Stochastic Equations in Infinite Dimensions

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Q4257163

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A class of stochastic differential equations with non-Lipschitzian coefficients: Pathwise uniqueness and no explosion

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Existence of strong solutions for Itô's stochastic equations via approximations

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The existence and uniqueness of solutions of nuclear space-valued stochastic differential equations driven by poisson random measures

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Calculus on Gaussian and Poisson white noises

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Q3774629

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Stochastic models of environmental pollution

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Q4939915

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Strong solutions of stochastic equations with singular time dependent drift

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SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES

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ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION

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Q3816765

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Infinite dimensional analysis of pure jump Lévy processes on the Poisson space

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Stochastic partial differential equations driven by Lévy space-time white noise.

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Sur l'int�grabilit� uniforme des martingales exponentielles

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On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients

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White noise calculus and Fock space

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White noise of Poisson random measures

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Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces

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Q4743520

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On the Strong Solutions of Stochastic Differential Equations

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ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS

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On the Criteria for Existence of a Strong Solution of a Stochastic Equation

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A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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Q3938989

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Sitelinks

Mathematics(1 entry)

mardi Publication:966506

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-Andrew I. Dale
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+Frank Norbert Proske
@@ Property / author: Frank Norbert Proske / rank @@
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+Andrew I. Dale
@@ Property / reviewed by: Andrew I. Dale / rank @@
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@@ Property / cites work @@
+Towards a general theory of bond markets
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+Normal rank
@@ Property / cites work @@
+Stochastic Equations in Infinite Dimensions
@@ Property / cites work: Stochastic Equations in Infinite Dimensions / rank @@
+Normal rank
@@ Property / cites work @@
+Q4257163
@@ Property / cites work: Q4257163 / rank @@
+Normal rank
@@ Property / cites work @@
+A class of stochastic differential equations with non-Lipschitzian coefficients: Pathwise uniqueness and no explosion
+Normal rank
@@ Property / cites work @@
+Existence of strong solutions for Itô's stochastic equations via approximations
+Normal rank
@@ Property / cites work @@
+The existence and uniqueness of solutions of nuclear space-valued stochastic differential equations driven by poisson random measures
+Normal rank
@@ Property / cites work @@
+Q4202615
@@ Property / cites work: Q4202615 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4896047
@@ Property / cites work: Q4896047 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3992729
@@ Property / cites work: Q3992729 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3339049
@@ Property / cites work: Q3339049 / rank @@
+Normal rank
@@ Property / cites work @@
+Calculus on Gaussian and Poisson white noises
@@ Property / cites work: Calculus on Gaussian and Poisson white noises / rank @@
+Normal rank
@@ Property / cites work @@
+Q3774629
@@ Property / cites work: Q3774629 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic models of environmental pollution
@@ Property / cites work: Stochastic models of environmental pollution / rank @@
+Normal rank
@@ Property / cites work @@
+Q4939915
@@ Property / cites work: Q4939915 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong solutions of stochastic equations with singular time dependent drift
+Normal rank
@@ Property / cites work @@
+SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
+Normal rank
@@ Property / cites work @@
+ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION
+Normal rank
@@ Property / cites work @@
+Q3816765
@@ Property / cites work: Q3816765 / rank @@
+Normal rank
@@ Property / cites work @@
+Infinite dimensional analysis of pure jump Lévy processes on the Poisson space
+Normal rank
@@ Property / cites work @@
+Stochastic partial differential equations driven by Lévy space-time white noise.
+Normal rank
@@ Property / cites work @@
+Sur l'int�grabilit� uniforme des martingales exponentielles
+Normal rank
@@ Property / cites work @@
+On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients
+Normal rank
@@ Property / cites work @@
+White noise calculus and Fock space
@@ Property / cites work: White noise calculus and Fock space / rank @@
+Normal rank
@@ Property / cites work @@
+White noise of Poisson random measures
@@ Property / cites work: White noise of Poisson random measures / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces
+Normal rank
@@ Property / cites work @@
+Q4743520
@@ Property / cites work: Q4743520 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Strong Solutions of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
+Normal rank
@@ Property / cites work @@
+On the Criteria for Existence of a Strong Solution of a Stochastic Equation
+Normal rank
@@ Property / cites work @@
+A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT
+Normal rank
@@ Property / cites work @@
+Q3938989
@@ Property / cites work: Q3938989 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:966506