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arXiv · 2108.11891

Weak solutions to gamma-driven stochastic differential equations

Denis Belomestny·Shota Gugushvili·Moritz Schauer·Peter Spreij
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Abstract

We study a stochastic differential equation driven by a gamma process, for which we give results on the existence of weak solutions under conditions on the volatility function. To that end we provide results on the density process between the laws of solutions with different volatility functions.

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Denis Belomestny, Shota Gugushvili, Moritz Schauer, Peter Spreij. 2021-08-26. Weak solutions to gamma-driven stochastic differential equations. https://doi.org/10.1016/j.indag.2023.03.004

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