標題: | Further results on some singular linear stochastic differential equations |
作者: | Alili, Larbi Wu, Ching-Tang 應用數學系 Department of Applied Mathematics |
關鍵字: | Brownian motion;Canonical decomposition;Enlargement of filtrations;Goursat kernels;Gramian matrices;Self-reproducing kernels;Stochastic differential equations;Volterra transform |
公開日期: | 1-四月-2009 |
摘要: | 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. |
URI: | http://dx.doi.org/10.1016/j.spa.2008.07.004 http://hdl.handle.net/11536/7458 |
ISSN: | 0304-4149 |
DOI: | 10.1016/j.spa.2008.07.004 |
期刊: | STOCHASTIC PROCESSES AND THEIR APPLICATIONS |
Volume: | 119 |
Issue: | 4 |
起始頁: | 1386 |
結束頁: | 1399 |
顯示於類別: | 期刊論文 |