Stochastic differential equations with boundary conditions driven by a Poisson noise

Details Stochastic differential equations with boundary conditions driven by a Poisson noise Stochastic differential equations with boundary conditions driven by a Poisson noise

2003-09-18

arxiv.org/abs/math/0309310v1

Mathematics

Probability

24 pages

Scientific paper

We consider one-dimensional stochastic differential equations with a boundary
condition, driven by a Poisson process. We study existence and uniqueness of
solutions and the absolute continuity of the law of the solution. In the case
when the coefficients are linear, we give an explicit form of the solution and
study the reciprocal process property.

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