Algebraic structures and stochastic differential equations driven by Lévy processes
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Publication:5243621
DOI10.1098/rspa.2018.0567zbMath1425.60055arXiv1601.04880OpenAlexW2281202288MaRDI QIDQ5243621
Charles Curry, Anke Wiese, Kurusch Ebrahimi-Fard, Simon J. A. Malham
Publication date: 19 November 2019
Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1601.04880
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)
Related Items (5)
Time-warping invariants of multidimensional time series ⋮ The non-commutative Korteweg-de Vries hierarchy and combinatorial Pöppe algebra ⋮ Symplectic numerical integration for Hamiltonian stochastic differential equations with multiplicative Lévy noise in the sense of Marcus ⋮ Quasi-geometric rough paths and rough change of variable formula ⋮ Quasi-shuffle algebras in non-commutative stochastic calculus
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