A new formula for some linear stochastic equations with applications

DOI10.1214/09-AAP637zbMATH Open1196.60122arXiv1009.3373OpenAlexW3104499980MaRDI QIDQ968770FDOQ968770

Marc Yor, Offer Kella

Publication date: 6 May 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: We give a representation of the solution for a stochastic linear equation of the form $X_t=Y_t+in{t}_{(0,t]}{X}_{s-}mathrmd{Z}_s$ where $Z$ is a c'adl'ag semimartingale and $Y$ is a c'adl'ag adapted process with bounded variation on finite intervals. As an application we study the case where $Y$ and $-Z$ are nondecreasing, jointly have stationary increments and the jumps of $-Z$ are bounded by 1. Special cases of this process are shot-noise processes, growth collapse (additive increase, multiplicative decrease) processes and clearing processes. When $Y$ and $Z$ are, in addition, independent L'evy processes, the resulting $X$ is called a generalized Ornstein-Uhlenbeck process.

Full work available at URL: https://arxiv.org/abs/1009.3373

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zbMATH Keywords

risk processshot-noise processgeneralized Ornstein-Uhlenbeck processlinear stochastic equationgrowth collapse process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Stochastic integral equations (60H20)

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Cited In (3)

• A note on the inhomogeneous linear stochastic differential equation.
• Shot-noise queueing models
• Minimizing a stochastic convex function subject to stochastic constraints and some applications

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