Jump-diffusion processes in random environments
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Abstract: In this paper we investigate jump-diffusion processes in random environments which are given as the weak solutions to SDE's. We formulate conditions ensuring existence and uniqueness in law of solutions. We investigate Markov property. To prove uniqueness we solve a general martingale problem for cadlag processes. This result is of independent interest. In the last section we present application of our results considering generalized exponential Levy model.
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Cited in
(14)- On sequential construction of solutions of stochastic differential equations with jump terms
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- Application of an indicator random process for modeling open stochastic systems
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