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

DOI10.1007/978-981-32-9741-8zbMath1447.60001OpenAlexW4240267871MaRDI QIDQ2323710

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

zbMATH Keywords

Lévy processesstochastic calculusdensitiesPoisson random measurescompound Poisson processesstochastic differential equations with jumpssimple Poisson processes

Mathematics Subject Classification ID

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

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