标题: Further results on some singular linear stochastic differential equations
作者: Alili, Larbi
Wu, Ching-Tang
应用数学系
Department of Applied Mathematics
关键字: Brownian motion;Canonical decomposition;Enlargement of filtrations;Goursat kernels;Gramian matrices;Self-reproducing kernels;Stochastic differential equations;Volterra transform
公开日期: 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
起始页: 1386
结束页: 1399
显示于类别:Articles


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