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

DOI10.1080/15326349408807299MaRDI QIDQ4291645zbMATH OpenOpenAlexFDO

Authors Miguel Angel Garcia, R. 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 integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(10)

• Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
• Derivative formulae for stochastic differential equations driven by Poisson random measures
• Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
• Global synchronization of complex networks perturbed by the Poisson noise
• Remarks on the transformation of Ito's formula for jump-diffusion processes
• On the link between volatility and growth
• A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
• Robust equilibrium strategies in DB pension plans with Poisson jumps
• Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes
• ``Itō's lemma and the Bellman equation for Poisson processes: An applied view

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