On stochastic differential equations driven by a cauchy process and other stable Lévy motions

Annals of Probability

Volumn 30, Issue 2, 2002, Pages 802-825

  Zanzotto, Pio Andrea ^a  

^a UNIVERSITY OF UDINE   (Italy)

Author keywords

"Local" existence; Cauchy process; Quadratic pure jump semimartingales; Representation; Stable integrals; Stochastic differential equations; Strictly stable L vy processes; Time change; Weak existence

Indexed keywords

EID: 0036018187     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1023481008     Document Type: Article

References (21)

1. On solutions of one-dimensional stochastic differential equations without drift
2. On one-dimensional stochastic differential equations with generalized drift
3. Calcul stochastique et problèmes de martingales
4. Some time change representations of stable integrals, via predictable transformations of local martingales
5. Hitting times for transient stable processes
6. Time evolution of Lévy processes
7. The set of zeros of a semistable process
8. Sample path properties of a transient stable process
9. On solutions of one-dimensional stochastic differential equations driven by stable Lévy motion
10. Representation of a class of semimartingales as stable integrals
11. On stochastic differential equations driven by Cauchy process and the other α-stable motions