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Anticipating linear stochastic differential equations driven by a Lévy process

   
@article{EJP1910,
	author = {Jorge Leon and David Márquez-Carreras and Josep Vives},
	title = {Anticipating linear stochastic differential equations driven by a Lévy process},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {17},
	year = {2012},
	keywords = {Canonical Lévy space; Girsanov tranformations; Lévy and Poisson measures; Malliavin calculus;  Pathwise integral; Skorohod integral},
	abstract = {In this paper we study the existence of a unique solution for  linear stochastic differential equations driven by a Lévy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying filtration. Towards this end, we  extend the method based on Girsanov transformation on Wiener space and developped by Buckdahn [7] to the canonical Lévy space, which is introduced in [25].},
	pages = {no. 89, 1-26},
	issn = {1083-6489},
	doi = {10.1214/EJP.v17-1910},    
        url = {http://ejp.ejpecp.org/article/view/1910}}