2005-01-01Buch DOI: 10.18452/2515
On Émery's inequality and a variation-of-constants formula
Gaans, Onno van
A generalization of Émery's inequality for stochastic integrals is shown for convolution integrals with respect to an arbitrary semimartingale. The inequality is used to prove existence and uniqueness of solutions of equations of variation-of-constants type. As a consequence, it is shown that the solution of a typical semilinear delay differential equation driven by a general semimartingale satisfies a variation-of-constants formula.
Dateien zu dieser Publikation