SDEs driven by SDE solutions
From MaRDI portal
Publication:2929556
zbMATH Open1308.60075arXiv1103.3364MaRDI QIDQ2929556
Publication date: 12 November 2014
Published in: Universal Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)
Abstract: We consider stochastic differential equations (SDEs) driven by Feller processes which are themselves solutions of multivariate Levy driven SDEs. The solutions of these 'iterated SDEs' are shown to be non-Markovian. However, the process consisting of the driving process and the solution is Markov and even Feller in the case of bounded coefficients. The generator as well as the semimartingale characteristics of this process are calculated explicitly and fine properties of the solution are derived via the stochastic symbol. A short simulation study and an outlook in the direction of stochastic modeling round out the paper.
Full work available at URL: https://arxiv.org/abs/1103.3364
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Stochastic integral equations (60H20) Pseudodifferential operators (47G30)
This page was built for publication: SDEs driven by SDE solutions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2929556)
