Modeling and analysis of stochastic differential equations driven by point processes

DOI10.1109/TIT.1978.1055857zbMath0372.60084MaRDI QIDQ4150441

Steven I. Marcus

Publication date: 1978

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99)

Related Items (29)

Support theorem for jump processes. ⋮ The stochastic Strichartz estimates and stochastic nonlinear Schrödinger equations driven by Lévy noise ⋮ Singular perturbation of quantum stochastic differential equations with coupling through an oscillator mode ⋮ FIRST EXIT TIMES OF SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY MULTIPLICATIVE LÉVY NOISE WITH HEAVY TAILS ⋮ Derivation of Fokker-Planck equations for stochastic systems under excitation of multiplicative non-Gaussian white noise ⋮ Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise ⋮ Directed transport induced by spatially modulated Lévy flights ⋮ A review on stochastic differential equations for applications in hydrology ⋮ Reduced α-stable dynamics for multiple time scale systems forced with correlated additive and multiplicative Gaussian white noise ⋮ Well-posedness of Stratonovich multi-valued SDEs driven by semimartingales ⋮ Almost sure and moments stability of jump linear systems ⋮ Strong averaging along foliated Lévy diffusions with heavy tails on compact leaves ⋮ First-order linear Marcus SPDEs ⋮ Quasi‐shuffle algebras and renormalisation of rough differential equations ⋮ Smoothness of the law of manifold-valued Markov processes with jumps ⋮ Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review ⋮ Low dimensional filters for a class of finite state estimation problems with Poisson observations ⋮ Canonical RDEs and general semimartingales as rough paths ⋮ Digital simulation of Poisson stochastic differential equations ⋮ On reflected Stratonovich stochastic differential equations ⋮ Governing equations for probability densities of Marcus stochastic differential equations with Lévy noise ⋮ Stabilité d'un type élémentaire d'équations diffé rentielles stochastiques à bruits vectoriesl ⋮ Modeling and approximation of stochastic differential equations driven by semimartingales^† ⋮ Stochastic integrators with stationary independent increments ⋮ Random attractors for stochastic differential equations driven by two-sided Lévy processes ⋮ On Wong-Zakai approximation of stochastic differential equations ⋮ Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes ⋮ Unified signature cumulants and generalized Magnus expansions ⋮ Stochastic n-point D-bifurcations of stochastic Lévy flows and their complexity on finite spaces

This page was built for publication: Modeling and analysis of stochastic differential equations driven by point processes