Weak solutions to gamma-driven stochastic differential equations
| Authors |
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|---|---|
| Publication date | 07-2023 |
| Journal | Indagationes Mathematicae |
| Volume | Issue number | 34 | 4 |
| Pages (from-to) | 820-829 |
| Organisations |
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| Abstract | We study a stochastic differential equation driven by a gamma process, for which we give results on the existence of weak solutions under conditions on the volatility function. To that end we provide results on the density process between the laws of solutions with different volatility functions. |
| Document type | Article |
| Language | English |
| Published at | https://doi.org/10.1016/j.indag.2023.03.004 |
| Other links | https://www.scopus.com/pages/publications/85152573755 |
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Weak solutions to gamma-driven stochastic differential equations
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