The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures
Øksendal, Bernt ; Zhang, Tusheng
Osaka J. Math., Tome 44 (2007) no. 1, p. 207-230 / Harvested from Project Euclid
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In this paper we obtain existence and uniqueness of solutions of forward stochastic differential equations driven by compensated Poisson random measures. To this end, an Itô-Ventzell formula for jump processes is proved and the flow properties of solutions of stochastic differential equations driven by compensated Poisson random measures are studied.
Publié le : 2007-03-14
Classification:  60H40,  60G51,  60G57,  60H07 
@article{1174324333,
     author = {\O ksendal, Bernt and Zhang, Tusheng},
     title = {The It\^o-Ventzell formula and forward stochastic differential equations driven by Poisson random measures},
     journal = {Osaka J. Math.},
     volume = {44},
     number = {1},
     year = {2007},
     pages = { 207-230},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1174324333}
}

Øksendal, Bernt; Zhang, Tusheng. The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures. Osaka J. Math., Tome 44 (2007) no. 1, pp.  207-230. http://gdmltest.u-ga.fr/item/1174324333/