Further results on some singular linear stochastic differential equations
| dc.creator | Alili, Larbi | |
| dc.creator | Wu, Ching-Tang | |
| dc.date | 2007-02-26 | |
| dc.date | 2008-05-29 | |
| dc.date.accessioned | 2026-07-07T09:41:25Z | |
| dc.date.available | 2026-07-07T09:41:25Z | |
| dc.description | A class of Volterra transforms, preserving the Wiener measure, with kernels of Goursat type is considered. Such kernels satisfy a self-reproduction property. We provide some results on the inverses of the associated Gramian matrices which lead to a new self-reproduction property. A connection to the classical reproduction property is given. Results are then applied to the study of a class of singular linear stochastic differential equations together with the corresponding decompositions of filtrations. The studied equations are viewed as non-canonical decompositions of some generalized bridges. | |
| dc.identifier | https://arxiv.org/abs/math/0702785 | |
| dc.identifier | http://arxiv.org/abs/math/0702785 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/161819 | |
| dc.subject | Probability | |
| dc.subject | 26C05: 60G65 | |
| dc.title | Further results on some singular linear stochastic differential equations | |
| dc.type | text |