Denis Belomestny , Shota Gugushvili , Moritz Schauer , Peter Spreij
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引用次数: 2
Abstract
We study a stochastic differential equation driven by a gamma process, for which we give results on the existence of weak solutions under conditions on the volatility function. To that end we provide results on the density process between the laws of solutions with different volatility functions.
期刊介绍:
Indagationes Mathematicae is a peer-reviewed international journal for the Mathematical Sciences of the Royal Dutch Mathematical Society. The journal aims at the publication of original mathematical research papers of high quality and of interest to a large segment of the mathematics community. The journal also welcomes the submission of review papers of high quality.