Weak solutions to gamma-driven stochastic differential equations
Probability
2023-10-18 v1
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.
Cite
@article{arxiv.2108.11891,
title = {Weak solutions to gamma-driven stochastic differential equations},
author = {Denis Belomestny and Shota Gugushvili and Moritz Schauer and Peter Spreij},
journal= {arXiv preprint arXiv:2108.11891},
year = {2023}
}
Comments
arXiv admin note: substantial text overlap with arXiv:2011.08321