The stochastic Leibniz formula for Volterra integrals under enlarged filtrations

DOI10.1080/15326349.2023.2173233OpenAlexW4322743270WikidataQ123346961 ScholiaQ123346961MaRDI QIDQ6092933

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Publication date: 23 November 2023

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2023.2173233

zbMATH Keywords

Lévy processstochastic differential equation (SDE)Doléans-Dade exponentialenlarged filtrationparameter integralbackward stochastic Volterra integral equation (BSVIE)drift restrictionstochastic Leibniz formulaVolterra process/integral/equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Generalized stochastic processes (60G20) Stochastic integrals (60H05) Random measures (60G57) Stochastic integral equations (60H20)

Related Items (1)

Interest rate modeling with generalized Langevin equations

Cites Work

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