9 citations · 16 across the 3 of their papers we have counts for
3 papers
math.PR2009★ 7 cited
Time irregularity of generalized Ornstein--Uhlenbeck processes
Z. Brzezniak, B. Goldys, P. Imkeller +3
The paper is concerned with the properties of solutions to linear evolution equation perturbed by cylindrical Lévy processes. It turns out that solutions, under rather weak require…
q-fin.CP2009
Bonds with volatilities proportional to forward rates
Michal Baran, Jerzy Zabczyk
The problem of existence of solution for the Heath-Jarrow-Morton equation with linear volatility and purely jump random factor is studied. Sufficient conditions for existence and n…
math.AP2009★ 9 cited
On linear evolution equations with cylindrical Lévy noise
Enrico Priola, Jerzy Zabczyk
We study an infinite-dimensional Ornstein-Uhlenbeck process in a given Hilbert space . This is driven by a cylindrical symmetric Lévy process without a Gaussian componen…