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The regularity of Levy process

There is a property for continuous Markov process that each point $y$ in its state space is hit with positive probability one starting from any interior point $x$. This property is called the ...
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References/Papers on analytic solutions to SDEs

Does anyone know of any good references/research papers on finding analytic solutions to stochastic differential equations and/or finding approximating solutions to such a system? I am particularly ...
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Please consider the Stratonovich stochastic differential equation (SDE) $$dX = b(X)\circ dB$$ where $B$ is standard Brownian motion and $X(0)=X_0$. This corresponds to the Ito (SDE) $$dX = ... 3answers 263 views Asking for a Fourier inverse transform, which is related to stable laws Dear friends, Denote the function$$ G_a(x)=\mathcal{F}^{-1}\left(e^{-|\xi|^a}\right)(x)= \frac{1}{2\pi}\int_R \exp\left(-i x \xi - |\xi|^a\right)d\xi\;. $$It is well known that if a\in ]0,2], ... 3answers 298 views Solving SDE's on subsets of R^n. I posted this on mathstackexchange to no avail. It is well-known (see for instance Oskendal's text) that if T>0 and$$b(\cdot,\cdot): [0,T] \times \mathbb{R}^n \rightarrow ...
Given Tanaka sde $$dX_t=[a{\rm sign}(X_t)+b]dW_t$$ is there associated a diffusion process and so a Kolmogorov (Fokker-Planck) equation? What is this equation? References answering the question are ...
Hi everyone, Let's be given $I(0,t)$ a Stochastic Integral with respect to a local martingale $M_t$ of the form : $I(0,t)=\int_0^t h(s_-)dM_s$ with $h\in L(M)$ (for example $h$ is an adapted ...