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- W4313528481 abstract "Stochastic Differential Equations (SDEs) were originally devised by It^o to provide a pathwise construction of diffusion processes. A less explored approach to represent them is through Time Change Equations (TCEs) as put forth by Doeblin. TCEs are a generalization of Ordinary Differential Equations driven by random functions. We present a simple example where TCEs have some advantage over SDEs. We represent sticky L'evy processes as the unique solution to a TCE driven by a L'evy process with no negative jumps. The solution is adapted to the time-changed filtration of the L'evy process driving the equation. This is in contrast to the SDE describing sticky Brownian motion, which is known to have no adapted solutions as first proved by Chitashvili. A known consequence of such non-adaptability for SDEs is that certain natural approximations to the solution of the corresponding SDE do not converge in probability, even though they do converge weakly. Instead, we provide strong approximation schemes for the solution of our TCE (by adapting Euler's method for ODEs), whenever the driving L'evy process is strongly approximated." @default.
- W4313528481 created "2023-01-06" @default.
- W4313528481 creator A5014650074 @default.
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- W4313528481 date "2022-12-30" @default.
- W4313528481 modified "2023-09-25" @default.
- W4313528481 title "The Sticky L'evy Process as a solution to a Time Change Equation" @default.
- W4313528481 doi "https://doi.org/10.48550/arxiv.2301.00063" @default.
- W4313528481 hasPublicationYear "2022" @default.
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