Stochastic differential equations with boundary conditions driven by a Poisson noise
Aureli Alabert, Universitat Autònoma de Barcelona
Miguel Ángel Marmolejo, Universidad del Valle
Abstract
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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