An elementary theory of stochastic differential equations driven by a poisson process

DOI10.1080/15326349408807299zbMath0802.60051OpenAlexW2080845223MaRDI QIDQ4291645

Miguel Angel Garcia, Richard J. Griego

Publication date: 15 December 1994

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349408807299

zbMATH Keywords

Poisson process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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``Itō's lemma and the Bellman equation for Poisson processes: An applied view ⋮ Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes ⋮ On the link between volatility and growth ⋮ A defined benefit pension plan game with Brownian and Poisson jumps uncertainty ⋮ Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility ⋮ Remarks on the transformation of Ito's formula for jump-diffusion processes ⋮ Global synchronization of complex networks perturbed by the Poisson noise

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