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math.PR2021
Conditioning continuous-time Markov processes by guiding
Marc Corstanje, Frank van der Meulen, Moritz Schauer
A continuous-time Markov process can be conditioned to be in a given state at a fixed time using Doob's -transform. This transform requires the typically intractable…
math.PR2021★ 2 cited
Weak solutions to gamma-driven stochastic differential equations
Denis Belomestny, Shota Gugushvili, Moritz Schauer +1
We study a stochastic differential equation driven by a gamma process, for which we give results on the existence of weak solutions under conditions on the volatility function. To…