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math.PR2013
Yamada-Watanabe results for stochastic differential equations with jumps
Matyas Barczy, Zenghu Li, Gyula Pap
Recently, Kurtz (2007, 2014) obtained a general version of the Yamada-Watanabe and Engelbert theorems relating existence and uniqueness of weak and strong solutions of stochastic e…
math.PR2013
Operator scaled Wiener bridges
Matyas Barczy, Peter Kern, Vincent Krause
We introduce operator scaled Wiener bridges by incorporating a matrix scaling in the drift part of the SDE of a multidimensional Wiener bridge. A sufficient condition for the bridg…
math.PR2013
Stationarity and ergodicity for an affine two factor model
Matyas Barczy, Leif Doering, Zenghu Li +1
We study the existence of a unique stationary distribution and ergodicity for a 2-dimensional affine process. The first coordinate is supposed to be a so-called alpha-root process…