A new formula for some linear stochastic equations with applications
Kella, Offer ; Yor, Marc
Ann. Appl. Probab., Tome 20 (2010) no. 1, p. 367-381 / Harvested from Project Euclid
We give a representation of the solution for a stochastic linear equation of the form Xt=Yt+∫(0, t]Xs− dZs where Z is a càdlàg semimartingale and Y is a càdlàg adapted process with bounded variation on finite intervals. As an application we study the case where Y and −Z are nondecreasing, jointly have stationary increments and the jumps of −Z are bounded by 1. Special cases of this process are shot-noise processes, growth collapse (additive increase, multiplicative decrease) processes and clearing processes. When Y and Z are, in addition, independent Lévy processes, the resulting X is called a generalized Ornstein–Uhlenbeck process.
Publié le : 2010-04-15
Classification:  Linear stochastic equation,  growth collapse process,  risk process,  shot-noise process,  generalized Ornstein–Uhlenbeck process,  60H20,  60G51,  60K30
@article{1268143427,
     author = {Kella, Offer and Yor, Marc},
     title = {A new formula for some linear stochastic equations with applications},
     journal = {Ann. Appl. Probab.},
     volume = {20},
     number = {1},
     year = {2010},
     pages = { 367-381},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1268143427}
}
Kella, Offer; Yor, Marc. A new formula for some linear stochastic equations with applications. Ann. Appl. Probab., Tome 20 (2010) no. 1, pp.  367-381. http://gdmltest.u-ga.fr/item/1268143427/