Lévy stochastic differential equations
2020-05-23 — 2020-05-23
Wherein Lévy-driven stochastic differential equations are examined, sparse stochastic process sampling theory is invoked and a Poisson-driven example is exhibited, and Malliavin calculus is mentioned as a potential tool.
Stochastic differential equations driven by Lévy noise are not as tidy as Itô diffusions driven by Brownian noise, so they are frequently brushed aside in stochastic calculus texts. But I need ’em! There is a developed sampling theory for these creatures called sparse stochastic process theory.
Schoutens, Leuven, and Studer (2001) gives a tractable example for Poisson processes.
Possibly also chaos expansions might be a useful tool, and/or Malliavin calculus, whatever that is.
But I will express no opinions, because this is a placeholder for a topic on which I do not know enough yet. 🏗