No Cover Image

Journal article 753 views 73 downloads

Supports for degenerate stochastic differential equations with jumps and applications

Huijie Qiao, Jiang-lun Wu

Statistics & Probability Letters, Volume: 177, Start page: 109176

Swansea University Author: Jiang-lun Wu

  • QiaoWu.pdf

    PDF | Accepted Manuscript

    ©2021 All rights reserved. All article content, except where otherwise noted, is licensed under a Creative Commons Attribution Non-Commercial No Derivatives License (CC-BY-NC-ND)

    Download (263.44KB)

Check full text

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...

Full description

Published in: Statistics & Probability Letters
ISSN: 0167-7152 0167-7152
Published: Elsevier BV 2021
Online Access: Check full text

URI: https://cronfa.swan.ac.uk/Record/cronfa55192
Tags: Add Tag
No Tags, Be the first to tag this record!
first_indexed 2020-09-16T21:56:49Z
last_indexed 2021-06-25T03:19:21Z
id cronfa55192
recordtype SURis
fullrecord <?xml version="1.0" encoding="utf-8"?><rfc1807 xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema"><bib-version>v2</bib-version><id>55192</id><entry>2020-09-16</entry><title>Supports for degenerate stochastic differential equations with jumps and applications</title><swanseaauthors><author><sid>dbd67e30d59b0f32592b15b5705af885</sid><firstname>Jiang-lun</firstname><surname>Wu</surname><name>Jiang-lun Wu</name><active>true</active><ethesisStudent>false</ethesisStudent></author></swanseaauthors><date>2020-09-16</date><deptcode>FGSEN</deptcode><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.</abstract><type>Journal Article</type><journal>Statistics &amp; Probability Letters</journal><volume>177</volume><journalNumber/><paginationStart>109176</paginationStart><paginationEnd/><publisher>Elsevier BV</publisher><placeOfPublication/><isbnPrint/><isbnElectronic/><issnPrint>0167-7152</issnPrint><issnElectronic>0167-7152</issnElectronic><keywords>Supports; Degenerate stochastic differential equations with jumps; Path-independence; Infinite-dimensional integro-differential equations.</keywords><publishedDay>1</publishedDay><publishedMonth>10</publishedMonth><publishedYear>2021</publishedYear><publishedDate>2021-10-01</publishedDate><doi>10.1016/j.spl.2021.109176</doi><url/><notes/><college>COLLEGE NANME</college><department>Science and Engineering - Faculty</department><CollegeCode>COLLEGE CODE</CollegeCode><DepartmentCode>FGSEN</DepartmentCode><institution>Swansea University</institution><apcterm>Not Required</apcterm><funders/><projectreference/><lastEdited>2023-12-04T16:56:44.8343112</lastEdited><Created>2020-09-16T22:50:37.5796059</Created><path><level id="1">Faculty of Science and Engineering</level><level id="2">School of Mathematics and Computer Science - Mathematics</level></path><authors><author><firstname>Huijie</firstname><surname>Qiao</surname><order>1</order></author><author><firstname>Jiang-lun</firstname><surname>Wu</surname><order>2</order></author></authors><documents><document><filename>55192__18184__8163d5a1bb4f4af8b3bcace4d91d51fc.pdf</filename><originalFilename>QiaoWu.pdf</originalFilename><uploaded>2020-09-16T22:56:30.7299642</uploaded><type>Output</type><contentLength>269763</contentLength><contentType>application/pdf</contentType><version>Accepted Manuscript</version><cronfaStatus>true</cronfaStatus><embargoDate>2022-06-07T00:00:00.0000000</embargoDate><documentNotes>©2021 All rights reserved. All article content, except where otherwise noted, is licensed under a Creative Commons Attribution Non-Commercial No Derivatives License (CC-BY-NC-ND)</documentNotes><copyrightCorrect>true</copyrightCorrect><language>eng</language><licence>https://creativecommons.org/licenses/by-nc-nd/4.0/</licence></document></documents><OutputDurs/></rfc1807>
spelling v2 55192 2020-09-16 Supports for degenerate stochastic differential equations with jumps and applications dbd67e30d59b0f32592b15b5705af885 Jiang-lun Wu Jiang-lun Wu true false 2020-09-16 FGSEN 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. Journal Article Statistics & Probability Letters 177 109176 Elsevier BV 0167-7152 0167-7152 Supports; Degenerate stochastic differential equations with jumps; Path-independence; Infinite-dimensional integro-differential equations. 1 10 2021 2021-10-01 10.1016/j.spl.2021.109176 COLLEGE NANME Science and Engineering - Faculty COLLEGE CODE FGSEN Swansea University Not Required 2023-12-04T16:56:44.8343112 2020-09-16T22:50:37.5796059 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Huijie Qiao 1 Jiang-lun Wu 2 55192__18184__8163d5a1bb4f4af8b3bcace4d91d51fc.pdf QiaoWu.pdf 2020-09-16T22:56:30.7299642 Output 269763 application/pdf Accepted Manuscript true 2022-06-07T00:00:00.0000000 ©2021 All rights reserved. All article content, except where otherwise noted, is licensed under a Creative Commons Attribution Non-Commercial No Derivatives License (CC-BY-NC-ND) true eng https://creativecommons.org/licenses/by-nc-nd/4.0/
title Supports for degenerate stochastic differential equations with jumps and applications
spellingShingle Supports for degenerate stochastic differential equations with jumps and applications
Jiang-lun Wu
title_short Supports for degenerate stochastic differential equations with jumps and applications
title_full Supports for degenerate stochastic differential equations with jumps and applications
title_fullStr Supports for degenerate stochastic differential equations with jumps and applications
title_full_unstemmed Supports for degenerate stochastic differential equations with jumps and applications
title_sort Supports for degenerate stochastic differential equations with jumps and applications
author_id_str_mv dbd67e30d59b0f32592b15b5705af885
author_id_fullname_str_mv dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu
author Jiang-lun Wu
author2 Huijie Qiao
Jiang-lun Wu
format Journal article
container_title Statistics & Probability Letters
container_volume 177
container_start_page 109176
publishDate 2021
institution Swansea University
issn 0167-7152
0167-7152
doi_str_mv 10.1016/j.spl.2021.109176
publisher Elsevier BV
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics
document_store_str 1
active_str 0
description 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.
published_date 2021-10-01T16:56:45Z
_version_ 1784371222373466112
score 11.035634

Similar Items