一般滤波中带跳跃的倒向随机Volterra积分方程

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY Esaim-Probability and Statistics Pub Date : 2020-02-17 DOI:10.1051/PS/2021006

A. Popier

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引用次数: 11

摘要

本文研究了Lin [stochastic Anal]中引入的倒向随机Volterra积分方程。应用学报，20 (2002)165-183 [j]。并推广了Papapantoleon等人的一般过滤的存在性、唯一性或比较结果[电子]。[j] .概率学报，23 (2018)EJP240](不只是布朗泊松设定)。我们还考虑了lp数据，并探索了Itô设置下解的时间规律性，这也是这个跳跃设置中的新内容。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Backward stochastic Volterra integral equations with jumps in a general filtration

In this paper, we study backward stochastic Volterra integral equations introduced in Lin [Stochastic Anal. Appl. 20 (2002) 165–183] and Yong [Stochastic Process. Appl. 116 (2006) 779–795] and extend the existence, uniqueness or comparison results for general filtration as in Papapantoleon et al. [Electron. J. Probab. 23 (2018) EJP240] (not only Brownian-Poisson setting). We also consider Lp-data and explore the time regularity of the solution in the Itô setting, which is also new in this jump setting.

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来源期刊

Esaim-Probability and Statistics STATISTICS & PROBABILITY-

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： The journal publishes original research and survey papers in the area of Probability and Statistics. It covers theoretical and practical aspects, in any field of these domains. Of particular interest are methodological developments with application in other scientific areas, for example Biology and Genetics, Information Theory, Finance, Bioinformatics, Random structures and Random graphs, Econometrics, Physics. Long papers are very welcome. Indeed, we intend to develop the journal in the direction of applications and to open it to various fields where random mathematical modelling is important. In particular we will call (survey) papers in these areas, in order to make the random community aware of important problems of both theoretical and practical interest. We all know that many recent fascinating developments in Probability and Statistics are coming from "the outside" and we think that ESAIM: P&S should be a good entry point for such exchanges. Of course this does not mean that the journal will be only devoted to practical aspects.