An Ideal Class to Construct Solutions for Skew Brownian Motion Equations


Authors / Editors


Research Areas

No matching items found.


Publication Details

Output type: Journal article

UM6P affiliated Publication?: Yes

Author list: Eyi Obiang, Fulgence; Moutsinga, Octave; Ouknine, Youssef

Publisher: Springer Verlag (Germany)

Publication year: 2021

Journal: Journal of Theoretical Probability (0894-9840)

ISSN: 0894-9840

eISSN: 1572-9230

Languages: English (EN-GB)


View in Web of Science | View on publisher site | View citing articles in Web of Science


Abstract

This paper contributes to the study of stochastic processes of the class (Sigma). First, we extend the notion of the above-mentioned class to cadlag semi-martingales, whose finite variation part is considered cadlag instead of continuous. Thus, we present some properties and propose a method to characterize such stochastic processes. Second, we investigate continuous processes of the class (Sigma). More precisely, we derive a series of new characterization results. In addition, we construct solutions for skew Brownian motion equations using continuous stochastic processes of the class (Sigma).


Keywords

No matching items found.


Documents

No matching items found.


Last updated on 2021-21-11 at 23:20