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Stochastic integrals and SDE driven by nonlinear Lévy noise
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Kolokoltsov, V. N. (Vasiliĭ Nikitich) (2010) Stochastic integrals and SDE driven by nonlinear Lévy noise. Stochastic Analyisis, Volume 2010 . pp. 227-242. doi:10.1007/978-3-642-15358-7_11
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Official URL: http://dx.doi.org/10.1007/978-3-642-15358-7_11
Abstract
We develop the theory of SDE driven by nonlinear Lévy noise, aiming at applications to Markov processes. It is shown that a conditionally positive integro-differential operator (of the Lévy–Khintchine type) with variable coefficients (diffusion, drift and Lévy measure) depending Lipschitz continuously on its parameters generates a Markov semigroup, where the measures are metricized by the Wasserstein–Kantorovich metrics W p . The analysis of SDE driven by nonlinear Lévy noise was initiated by the author in (“Kolokoltsov, Probability Theory Related Fields, DOI: 10.1007/s00440-010-0293-8, 2009”) (inspired partially by “Carmona and Nualart, Nonlinear Stochastic Integrators, Equations and Flows, Stochatic Monographs, v. 6, Gordon and Breach, 1990”), see also (“Kolokoltsov, Nonlinear Markov Processes and Kinetic Equations, Monograph. To appear in CUP, 2010”). Here, we suggest an alternative (seemingly more straightforward) approach based on the path-wise interpretation of these integrals as nonhomogeneous Lévy processes. Moreover, we are working with more general W p -distances rather than with W 2.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Stochastic Analyisis | ||||
Publisher: | Springer Berlin Heidelberg | ||||
Book Title: | Stochastic Analysis 2010 | ||||
Official Date: | 27 October 2010 | ||||
Dates: |
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Volume: | Volume 2010 | ||||
Page Range: | pp. 227-242 | ||||
DOI: | 10.1007/978-3-642-15358-7_11 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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