Weak solutions to gamma-driven stochastic differential equations
نویسندگان
چکیده
We study a stochastic differential equation driven by gamma process, for which we give results on the existence of weak solutions under conditions volatility function. To that end provide density process between laws with different functions.
منابع مشابه
Adaptive Weak Approximation of Stochastic Differential Equations
Adaptive time-stepping methods based on the Monte Carlo Euler method for weak approximation of Itô stochastic differential equations are developed. The main result is new expansions of the computational error, with computable leading-order term in a posteriori form, based on stochastic flows and discrete dual backward problems. The expansions lead to efficient and accurate computation of error ...
متن کاملInvariant Manifolds for Weak Solutions to Stochastic Equations
Viability and invariance problems related to a stochastic equation in a Hilbert space H are studied. Finite dimensional invariant C submanifolds of H are characterized. We derive Nagumo type conditions and prove a regularity result: Any weak solution, which is viable in a finite dimensional C submanifold, is a strong solution. These results are related to finding finite dimensional realizations...
متن کاملOn the Existence of Weak Variational Solutions to Stochastic Differential Equations
We study the existence of weak variational solutions in a Gelfand triplet of real separable Hilbert spaces, under continuity, growth, and coercivity conditions on the coefficients of the stochastic differential equation. The laws of finite dimensional approximations are proved to weakly converge to the limit which is identified as a weak solution. The solution is an H– valued continuous process...
متن کاملAn optimization approach to weak approximation of Lévy-driven stochastic differential equations
We propose an optimization approach to weak approximation of Lévydriven stochastic differential equations. We employ a mathematical programming framework to obtain numerically upper and lower bound estimates of the target expectation, where the optimization procedure ends up with a polynomial programming problem. An advantage of our approach is that all we need is a closed form of the Lévy meas...
متن کاملApplication of DJ method to Ito stochastic differential equations
This paper develops iterative method described by [V. Daftardar-Gejji, H. Jafari, An iterative method for solving nonlinear functional equations, J. Math. Anal. Appl. 316 (2006) 753-763] to solve Ito stochastic differential equations. The convergence of the method for Ito stochastic differential equations is assessed. To verify efficiency of method, some examples are ex...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Indagationes Mathematicae
سال: 2023
ISSN: ['0019-3577', '1872-6100']
DOI: https://doi.org/10.1016/j.indag.2023.03.004