Jump type SDEs for self-similar processes

DOI10.1214/EJP.v17-2402zbMath1286.60036MaRDI QIDQ392675

Leif Döring, Mátyás Barczy

Publication date: 15 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

zbMATH Keywords

Lévy processjump type SDELamperti's transformationself-similar Markov process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)

Related Items (4)

Yamada-Watanabe results for stochastic differential equations with jumps ⋮ Multifractality of jump diffusion processes ⋮ A jump-type SDE approach to real-valued self-similar Markov processes ⋮ On Entire Moments of Self-Similar Markov Processes

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