Anticipating linear stochastic differential equations driven by a Lévy process

DOI10.1214/EJP.V17-1910MaRDI QIDQ456247zbMATH OpenFDO

Authors David Márquez-Carreras, Josep Vives, Jorge A. Leon

Publication date 23 October 2012

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.1692

zbMATH Keywords

canonical Lévy spaceGirsanov tranformationsLévy and Poisson measuresMalliavin calculuspathwise integralSkorohod integral

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a L'evy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying filtration. Towards this end, we extend the method based on Girsanov transformation on Wiener space and developped by Buckdahn to the canonical L'evy space.

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