Jump-diffusion processes in random environments
Probability
2013-07-19 v2
Abstract
In this paper we investigate jump-diffusion processes in random environments which are given as the weak solutions to SDE's. We formulate conditions ensuring existence and uniqueness in law of solutions. We investigate Markov property. To prove uniqueness we solve a general martingale problem for \cadlag processes. This result is of independent interest. In the last section we present application of our results considering generalized exponential Levy model.
Cite
@article{arxiv.1305.4129,
title = {Jump-diffusion processes in random environments},
author = {Jacek Jakubowski and Mariusz Niewęgłowski},
journal= {arXiv preprint arXiv:1305.4129},
year = {2013}
}