Exact solvability of stochastic differential equations driven by finite activity Lévy processes

DOI10.3390/MCA17010068zbMath1390.60209OpenAlexW2295146270MaRDI QIDQ1649190

Gazanfer Ünal, Ismail Iyigunler, Mine Caglar

Publication date: 5 July 2018

Published in: Mathematical \& Computational Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/mca17010068

zbMATH Keywords

stochastic differential equationsLevy processesinearizationstochastic integrating factors

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Ordinary differential equations and systems with randomness (34F05)

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