scholarly journals NONPARAMETRIC ESTIMATION OF LINEAR MULTIPLIER FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL LÉVY PROCESS WITH SMALL NOISE

2020 ◽  
Vol 52 (3) ◽  
pp. 1-14
Author(s):  
B.L.S. Prakasa Rao
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Nonparametric Estimation ◽  
Lévy Process ◽  
Levy Process ◽  
Small Noise

scholarly journals REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY A LÉVY PROCESS

2009 ◽  
Vol 50 (4) ◽  
pp. 486-500 ◽  
Author(s):  
YONG REN ◽  
XILIANG FAN
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Lévy Process ◽  
Backward Stochastic Differential Equations ◽  
Levy Process ◽  
Penalization Method ◽  
Lower Semi ◽  
Uniqueness Of The Solution ◽  
Teugels Martingales ◽  
Continuous Convex Function

AbstractIn this paper, we deal with a class of reflected backward stochastic differential equations (RBSDEs) corresponding to the subdifferential operator of a lower semi-continuous convex function, driven by Teugels martingales associated with a Lévy process. We show the existence and uniqueness of the solution for RBSDEs by means of the penalization method. As an application, we give a probabilistic interpretation for the solutions of a class of partial differential-integral inclusions.

Reflected generalized BSDEs with discontinuous barriers driven by a Lévy process

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Mohamed El Otmani
Keyword(s):  
Brownian Motion ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Lévy Process ◽  
Backward Stochastic Differential Equations ◽  
Levy Process ◽  
Uniqueness Of The Solution ◽  
Teugels Martingales

Abstract This article deals with the reflected and doubly reflected generalized backward stochastic differential equations when the noise is given by Brownian motion and Teugels martingales associated with an independent pure jump Lévy process. We prove the existence and the uniqueness of the solution for these equations with monotone generators and right continuous left limited obstacles.

Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion

2020 ◽  
Vol 28 (2) ◽  
pp. 113-122
Author(s):  
B. L. S. Prakasa Rao
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Differential Equations ◽  
Stochastic Differential Equation ◽  
Stochastic Differential Equations ◽  
Fractional Brownian Motion ◽  
Nonparametric Estimation ◽  
Small Noise ◽  
Trend Coefficient

AbstractWe discuss nonparametric estimation of a trend coefficient in models governed by a stochastic differential equation driven by a sub-fractional Brownian motion with small noise.

Sign in / Sign up

Export Citation Format

Share Document