Weak solutions to gamma-driven stochastic differential equations

Denis Belomestny; Shota Gugushvili; Moritz Schauer; Peter Spreij

doi:10.1016/j.indag.2023.03.004

Weak solutions to gamma-driven stochastic differential equations

Denis Belomestny, Shota Gugushvili, Moritz Schauer, Peter Spreij^*

^*Corresponding author for this work

Mathematical and Statistical Methods - Biometris

Research output: Contribution to journal › Article › Academic › peer-review

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.

Original language	English
Pages (from-to)	820-829
Number of pages	10
Journal	Indagationes Mathematicae
Volume	34
Issue number	4
DOIs	https://doi.org/10.1016/j.indag.2023.03.004
Publication status	Published - Jul 2023

Keywords

Gamma process
Stochastic differential equation

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https://edepot.wur.nl/632596Licence: CC BY

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title = "Weak solutions to gamma-driven stochastic differential equations",

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.",

keywords = "Gamma process, Stochastic differential equation",

author = "Denis Belomestny and Shota Gugushvili and Moritz Schauer and Peter Spreij",

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AU - Schauer, Moritz

AU - Spreij, Peter

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N2 - 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.

AB - 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.

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KW - Stochastic differential equation

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M3 - Article

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VL - 34

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JO - Indagationes Mathematicae

JF - Indagationes Mathematicae

IS - 4

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Weak solutions to gamma-driven stochastic differential equations

Abstract

Keywords

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