Jump SDEs and the study of their densities. A self-study book

DOI10.1007/978-981-32-9741-8zbMATH Open1447.60001OpenAlexW4240267871MaRDI QIDQ2323710FDOQ2323710

Authors: Arturo Kohatsu-Higa, Atsushi Takeuchi 

Publication date: 3 September 2019

Published in: Universitext (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-32-9741-8

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• scientific article; zbMATH DE number 46016

zbMATH Keywords

densitiesPoisson random measurescompound Poisson processesstochastic differential equations with jumpsstochastic calculussimple Poisson processesLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Jump processes on discrete state spaces (60J74)

Cited In (3)

• Wasserstein distance on solutions to stochastic differential equations with jumps
• The cutoff phenomenon in total variation for nonlinear Langevin systems with small layered stable noise
• Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes

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