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Paper detail

Anticipating Linear Stochastic Differential Equations Driven by a Lévy Process

In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a Lévy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying filtration. Towards this end, we extend the method based on Girsanov transformation on Wiener space and developped by Buckdahn to the canonical Lévy space.

preprint2012arXivOpen access
Jorge A. LeónDavid Márquez-CarrerasJosep Vives
math.PR
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Jorge A. LeónDavid Márquez-CarrerasJosep Vives

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