Weak solutions to gamma-driven stochastic differential equations

DOI10.1016/J.INDAG.2023.03.004MaRDI QIDQ6041362zbMATH OpenOpenAlexFDO

Authors D. Belomestny, Shota Gugushvili, Moritz Schauer, Peter Spreij

Publication date 26 May 2023

Published in Indagationes Mathematicae. New Series (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2108.11891

zbMATH Keywords

gamma processstochastic differential equation

Mathematics Subject Classification ID

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

Abstract: We study a stochastic differential equation driven by a gamma process, for which we give results on the existence of weak solutions under conditions on the volatility function. To that end we provide results on the density process between the laws of solutions with different volatility functions.

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Cited in

(2)

• Nonparametric Bayesian inference for stochastic processes with piecewise constant priors
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