7 citations · 13 across the 3 of their papers we have counts for
3 papers
math.PR2022
On partially observed jump diffusions II. The filtering density
Alexander Davie, Fabian Germ, István Gyöngy
A partially observed jump diffusion given by a stochastic differential equation driven by Wiener processes and Poisson martingale measures is considered w…
math.PR2007★ 7 cited
Differential equations driven by rough paths: an approach via discrete approximation
A. M. Davie
A theory of differential equations driven by a non-differentiable path has recently been developed by Lyons. We develop an alternative approach to this theory, using (modified Eule…
math.PR2007★ 6 cited
Uniqueness of solutions of stochastic differential equations
A. M. Davie
We consider a d-dimensional stochastic differential equation with additive noise and a drift coefficient which is assumed only to be a bounded Borel function. We show that, for alm…