Supports for degenerate stochastic differential equations with jumps and applications

Huijie Qiao and Jiang-Lun Wu

Statistics & Probability Letters, 2021, vol. 177, issue C

Abstract: In the paper, we are concerned with degenerate stochastic differential equations with jumps. We first establish two theorems about supports for the solution laws of the degenerate stochastic differential equations, under different (sufficient) conditions. We then apply one of our results to a class of degenerate stochastic evolution equations (that is, stochastic differential equations in infinite dimensions) with jumps to obtain a characterisation of path-independence for the densities of their Girsanov transformations.

Keywords: Supports; Degenerate stochastic differential equations with jumps; Path-independence; Infinite-dimensional integro-differential equations (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715221001383
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001383

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2021.109176

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().