Chaos decomposition of stochastic bilinear equations with drift in the first Poisson-Itô chaos (Q1567317): Difference between revisions
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Latest revision as of 10:31, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Chaos decomposition of stochastic bilinear equations with drift in the first Poisson-Itô chaos |
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Chaos decomposition of stochastic bilinear equations with drift in the first Poisson-Itô chaos (English)
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29 March 2001
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The authors consider an anticipating stochastic bilinear equation driven by a compensated Poisson process where the drift coefficient is in the first Poisson-Itô chaos and the diffusion coefficient is not necessarily adapted. They use the structure of the canonical Poisson process to prove that the unique strong solution of the equation has an explicit chaos decomposition.
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anticipating equations
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Poisson-Itô chaos decomposition
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canonical Poisson space
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