Weak solutions to gamma-driven stochastic differential equations-Reference-Cited by-同舟云学术

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Weak solutions to gamma-driven stochastic differential equations

Published:2023-07 Issue:4 Volume:34 Page:820-829
ISSN:0019-3577
Container-title:Indagationes Mathematicae
language:en
Short-container-title:Indagationes Mathematicae

Author:

Belomestny Denis,Gugushvili Shota^ORCID,Schauer Moritz,Spreij Peter^ORCID

Publisher

Elsevier BV

Subject

General Mathematics

Reference17 articles.

1. Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations;Belomestny;Bernoulli,2022

2. Pricing an option on revenue from an innovation: An application to movie box office revenue;Chance;Manage. Sci.,2008

3. Risk theory with the gamma process;Dufresne;Astin Bull.,1991

4. Une condition d’existence et d’unicité pur les solutions fortes d’equations differentielles stochastiques;Jacod;Stochastics,1980

5. Existence of weak solutions for stochastic differential equations with driving semimartingales;Jacod;Stochastics,1981

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