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Stochastic differential equations with boundary conditions driven by a Poisson noise


 
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1. Title Title of document Stochastic differential equations with boundary conditions driven by a Poisson noise
 
2. Creator Author's name, affiliation, country Aureli Alabert; Universitat Autònoma de Barcelona
 
2. Creator Author's name, affiliation, country Miguel Angel Marmolejo; Universidad del Valle
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) stochastic differential equations; boundary conditions; reciprocal processes; Poisson noise
 
3. Subject Subject classification 60H10; 60J25; 34F05
 
4. Description Abstract We consider one-dimensional stochastic differential equations with a boundary condition, driven by a Poisson process. We study existence and uniqueness of solutions and the absolute continuity of the law of the solution. In the case when the coefficients are linear, we give an explicit form of the solution and study the reciprocal process property.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2004-03-24
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/157
 
10. Identifier Digital Object Identifier 10.1214/EJP.v9-157
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 9
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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