Jump-diffusion processes in random environments (Q2249246)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump-diffusion processes in random environments |
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Jump-diffusion processes in random environments (English)
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10 July 2014
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The authors provide conditions ensuring the existence and uniqueness in law of solutions of jump stochastic differential equations. To prove uniqueness, they solve a general martingale problem for càdlàg processes.
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jump-diffusion
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stochastic differential equations
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Markov switching
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