Anticipating linear stochastic differential equations driven by a Levy process

作者：Leon Jorge A^*; Marquez Carreras David; Vives Josep

来源：Electronic Journal of Probability, 2012, 17: 1-26.

DOI：10.1214/EJP.v17-1910

• Canonical Levy space
• Girsanov tranformations
• Levy and Poisson measures
• Malliavin calculus
• Pathwise integral
• Skorohod integral

In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a Levy 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 transformations on Wiener space and developped by Buckdahn [8] to the canonical Levy space, which is introduced in [26].

• 出版日期2012-10-5