TY - JOUR

T1 - A Skorohod measurable universal functional representation of solutions to semimartingale SDEs

AU - Przybyłowicz, Paweł

AU - Schwarz, Verena

AU - Steinicke, Alexander

AU - Szölgyenyi, Michaela

PY - 2024/12/8

Y1 - 2024/12/8

N2 - In this article, we show the existence of a universal Skorohod measurable functional representation for a large class of semimartingale-driven stochastic differential equations. For this, we prove that paths of the strong solutions of stochastic differential equations can be written as measurable functions of the paths of their driving processes into the space of all càdlàg functions equipped with the Borel sigma-field generated by all open sets with respect to the Skorohod metric. This result can be applied to calculate Malliavin derivatives for SDEs driven by pure-jump Lévy processes with drift.

AB - In this article, we show the existence of a universal Skorohod measurable functional representation for a large class of semimartingale-driven stochastic differential equations. For this, we prove that paths of the strong solutions of stochastic differential equations can be written as measurable functions of the paths of their driving processes into the space of all càdlàg functions equipped with the Borel sigma-field generated by all open sets with respect to the Skorohod metric. This result can be applied to calculate Malliavin derivatives for SDEs driven by pure-jump Lévy processes with drift.

U2 - 10.1080/07362994.2024.2414220

DO - 10.1080/07362994.2024.2414220

M3 - Article

VL - 42.2024

SP - 1137

EP - 1155

JO - Stochastic analysis and applications

JF - Stochastic analysis and applications

SN - 0736-2994

IS - 6

ER -