Supports for degenerate stochastic differential equations with jumps and applications

DOI10.1016/j.spl.2021.109176zbMath1474.60155arXiv1810.04764OpenAlexW3091465394WikidataQ115341067 ScholiaQ115341067MaRDI QIDQ2244585

Huijie Qiao, Jiang-Lun Wu

Publication date: 12 November 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.04764

zbMATH Keywords

supportspath-independencedegenerate stochastic differential equations with jumpsinfinite-dimensional integro-differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Jump processes on general state spaces (60J76)

Cites Work

• Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
• Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients
• Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
• Strict positivity of the density for simple jump processes using the tools of support theorems. Application to the Kac equation without cutoff
• Support theorem for jump processes.
• On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
• No Arbitrage and General Semimartingales
• Lévy Processes and Stochastic Calculus
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