Browsing by Author "Alili, Larbi"

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Further results on some singular linear stochastic differential equations
(2009-04-01)
Alili, Larbi
;
Wu, Ching-Tang
;
應用數學系
;
Department of Applied Mathematics
A class of Volterra transforms, preserving the Wiener measure, with kernels of Goursat type is considered. Such kernels satisfy a self-reproduction property. We provide some results on the inverses of the associated Gramian matrices which lead to a new self-reproduction property. A connection to the classical reproduction property is given. Results are then applied to the study of a class of singular linear stochastic differential equations together with the corresponding decompositions of filtrations. The studied equations are viewed as non-canonical decompositions of some generalized bridges. (C) 2008 Elsevier B.V. All rights reserved.