Continuous strong Markov semimartingales as solutions of stochastic differential equations

1998 ◽  
pp. 103-118
Author(s):  
Sigurd Assing ◽  
Wolfgang M. Schmidt
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Strong Markov

scholarly journals Strong Markov local Dirichlet processes and stochastic differential equations

1998 ◽  
Vol 43 (2) ◽  
pp. 331-348 ◽  
Author(s):  
Ганс-Юрген Энгельберт ◽  
Hans-Jurgen Engelbert ◽  
Jochen Wolf ◽  
Jochen Wolf
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Dirichlet Processes ◽  
Strong Markov

MEASURE EVOLUTION FOR "STOCHASTIC FLOWS"

2008 ◽  
Vol 08 (02) ◽  
pp. 209-245 ◽  
Author(s):  
BIN WANG ◽  
KAI-NAN XIANG
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Markov Property ◽  
Stochastic Flows ◽  
Strong Markov Property ◽  
Finite Measures ◽  
Strong Markov ◽  
Related Measure ◽  
Compact Subsets

In this paper we study how σ-finite measures on ℝdevolve under a class of "stochastic flows" associated to stochastic differential equations with (resp. without) jumps in ℝd. First we show the related measure evolution processes are càdlàg (resp. continuous), strongly Markovian and weakly Fellerian. Then we extend the existing results on incompressibility in Harris [8] and Kunita [14], and prove strong Markov property of the process describing how compact subsets evolve under incompressible "stochastic flows" under a certain condition.

Stochastic Differential Equations for Power Law Behaviors

2012 ◽  
Author(s):  
Bo Jiang ◽  
Roger Brockett ◽  
Weibo Gong ◽  
Don Towsley
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Power Law
Sign in / Sign up

Export Citation Format

Share Document