Stochastic integral equations without probability

T. Mikosch, R. Norvaisa

    Research output: Contribution to journalArticleAcademicpeer-review

    25 Citations (Scopus)
    310 Downloads (Pure)

    Abstract

    A pathwise approach to stochastic integral equations is advocated. Linear extended Riemann-Stieltjes integral equations driven by certain stochastic processes are solved. Boundedness of the p-variation for some 0 <p <2 is the only condition on the driving stochastic process. Typical examples of such processes are infinite-variance stable Lévy motion, hyperbolic Lévy motion, normal inverse Gaussian processes, and fractional Brownian motion. The approach used in the paper is based on a chain rule for the composition of a smooth function and a function of bounded p-variation with 0 <p <2.
    Original languageEnglish
    Pages (from-to)401-434
    JournalBernoulli
    Volume6
    Issue number3
    DOIs
    Publication statusPublished - 2000

    Fingerprint

    Dive into the research topics of 'Stochastic integral equations without probability'. Together they form a unique fingerprint.

    Cite this