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Supports for degenerate stochastic differential equations with jumps and applications
Statistics & Probability Letters, Volume: 177, Start page: 109176
Swansea University Author: Jiang-lun Wu
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DOI (Published version): 10.1016/j.spl.2021.109176
Abstract
In the paper, we are concerned with degenerate stochastic differential equations with jumps. We first establish two theorems about supports for the solution laws of the degenerate stochastic differential equations, under different (sufficient) conditions. We then apply one of our results to a class...
| Published in: | Statistics & Probability Letters |
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| ISSN: | 0167-7152 0167-7152 |
| Published: |
Elsevier BV
2021
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa55192 |
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| Abstract: |
In the paper, we are concerned with degenerate stochastic differential equations with jumps. We first establish two theorems about supports for the solution laws of the degenerate stochastic differential equations, under different (sufficient) conditions. We then apply one of our results to a class of degenerate stochastic evolution equations (that is, stochastic differential equations in infinite dimensions) with jumps to obtain a characterisation of path-independence for the densities of their Girsanov transformations. |
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| Keywords: |
Supports; Degenerate stochastic differential equations with jumps; Path-independence; Infinite-dimensional integro-differential equations. |
| College: |
Faculty of Science and Engineering |
| Start Page: |
109176 |