Stochastic Calculus for a Time-Changed Semimartingale and the Associated Stochastic Differential Equations

Author:

Kobayashi Kei

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference17 articles.

1. Applebaum, D.: Lévy Processes and Stochastic Calculus. Cambridge University Press, Cambridge (2004)

2. Bondesson, L., Kristiansen, G.K., Steutel, F.W.: Infinite divisibility of random variables and their integer parts. Stat. Probab. Lett. 28(3), 271–278 (1996)

3. Gard, T.C.: Introduction to Stochastic Differential Equations. Dekker, New York (1988)

4. Gorenflo, R., Mainardi, F.: Fractional calculus: integral and differential equations of fractional order. In: Fractals and Fractional Calculus in Continuum Mechanics, pp. 223–276. Springer, Berlin (1997)

5. Hahn, M.G., Kobayashi, K., Umarov, S.: SDEs driven by a time-changed Lévy process and their associated time-fractional order pseudo-differential equations. J. Theor. Probab. (2010). doi: 10.1007/s10959-010-0289-4

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