Support theorem for jump processes of canonical type (Q5950736): Difference between revisions

The author announces a support theorem for canonical (Marcus) SDE's driven by a Lévy process without Gaussian part, under stringent assumptions on the jumping measure which are borrowed from the reviewer [Stochastic Processes Appl. 89, No. 1, 1-30 (2000)]. Actually, the class of discontinuous SDE's studied in the latter article is more general, so that the results which are presented here are not new.

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reviewed by

Thomas Simon

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zbMATH Keywords

canonical stochastic differential equations

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support theorem

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3792/pjaa.77.79

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cites work

CANONICAL SDE'S BASED ON SEMIMARTINGALES WITH SPATIAL PARAMETERS

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EXISTENCE OF THE DENSITY FOR A SINGULAR JUMP PROCESS AND ITS SHORT TIME PROPERTIES

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Support theorem for jump processes of canonical type

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Q5687105

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Q4263379

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Q3579544

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Stratonovich stochastic differential equations driven by general semimartingales

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Modeling and approximation of stochastic differential equations driven by semimartingales<sup>†</sup>

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On the existence of smooth densities for jump processes

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Density in small time at accessible points for jump processes

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Théorème de support pour processus à sauts

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Support of a Marcus equation in dimension \(1\)

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Support theorem for jump processes.

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Q5670045

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Q5564805

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Identifiers

zbMATH Open document ID

0983.60079

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DOI

10.3792/pjaa.77.79

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5950736

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@@ Property / cites work @@
+CANONICAL SDE'S BASED ON SEMIMARTINGALES WITH SPATIAL PARAMETERS
+Normal rank
@@ Property / cites work @@
+EXISTENCE OF THE DENSITY FOR A SINGULAR JUMP PROCESS AND ITS SHORT TIME PROPERTIES
+Normal rank
@@ Property / cites work @@
+Support theorem for jump processes of canonical type
+Normal rank
@@ Property / cites work @@
+Q5687105
@@ Property / cites work: Q5687105 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4263379
@@ Property / cites work: Q4263379 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3579544
@@ Property / cites work: Q3579544 / rank @@
+Normal rank
@@ Property / cites work @@
+Stratonovich stochastic differential equations driven by general semimartingales
+Normal rank
@@ Property / cites work @@
+Modeling and approximation of stochastic differential equations driven by semimartingales<sup>†</sup>
+Normal rank
@@ Property / cites work @@
+On the existence of smooth densities for jump processes
+Normal rank
@@ Property / cites work @@
+Density in small time at accessible points for jump processes
+Normal rank
@@ Property / cites work @@
+Théorème de support pour processus à sauts
@@ Property / cites work: Théorème de support pour processus à sauts / rank @@
+Normal rank
@@ Property / cites work @@
+Support of a Marcus equation in dimension \(1\)
@@ Property / cites work: Support of a Marcus equation in dimension \(1\) / rank @@
+Normal rank
@@ Property / cites work @@
+Support theorem for jump processes.
@@ Property / cites work: Support theorem for jump processes. / rank @@
+Normal rank
@@ Property / cites work @@
+Q5670045
@@ Property / cites work: Q5670045 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5564805
@@ Property / cites work: Q5564805 / rank @@
+Normal rank