Work

The Itô-ventzell Formula and Forward Stochastic Differential Equations Driven by Poisson Random Measures

Year: 2007

Type: article

Abstract: In this paper we obtain existence and uniqueness of solutions\nof forward stochastic differential equations driven by compensated\nPoisson random measures. To this end, an Itô-Ventzell\nformula for jump processes is proved and the flow properties\nof solutions of stochastic differential equations driven by\ncompensated Poisson random measures are studied.

Source: Osaka City University (Osaka City University)

DOI: 10.18910/5954

Authors: Bernt Øksendal, Tusheng Zhang

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2142269717

FWCI: 1.75

Cites: 20

Cited by: 21

Related to: 10