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5 papers · 1 filter
Anticipating Reflected Stochastic Differential Equations
Zongxia Liang, Tusheng Zhang
In this paper, we establish the existence of the solutions of reflected stochastic differential equations with possible anticipating initial random variables. The key is…
Cramer's estimate for a reflected Levy process
R. A. Doney, R. A. Maller
The natural analogue for a Levy process of Cramer's estimate for a reflected random walk is a statement about the exponential rate of decay of the tail of the characteristic measur…
Stochastic bounds for Levy processes
R. A. Doney
Using the Wiener-Hopf factorization, it is shown that it is possible to bound the path of an arbitrary Levy process above and below by the paths of two random walks. These walks ha…
Absolute continuity of symmetric Markov processes
Z. -Q. Chen, P. J. Fitzsimmons, M. Takeda +2
We study Girsanov's theorem in the context of symmetric Markov processes, extending earlier work of Fukushima-Takeda and Fitzsimmons on Girsanov transformations of ``gradient type.…
Convergence of symmetric diffusions on Wiener spaces
Andrea Posilicano, Tusheng Zhang
We prove convergence of symmetric diffusions on Wiener spaces by using stopping times arguments and capacity techniques. The drifts of the diffusions can be singular, we require th…