2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.PR2009★ 2 cited
A time inhomogeneous Cox-Ingersoll-Ross diffusion with jumps
Reinhard Hoepfner
We consider a time inhomogeneous Cox-Ingersoll-Ross diffusion with positive jumps. We exploit a branching property to prove existence of a unique strong solution under a restrictiv…
math.PR2009
An extension of the Yamada-Watanabe condition for pathwise uniqueness to stochastic differential equations with jumps
Reinhard Hoepfner
We extend the Yamada-Watanabe condition for pathwise uniqueness to stochastic differential equations with jumps, in the special case where small jumps are summable.