Applebaum, D. and Siakalli, M. (2009) Asymptotic stability of stochastic differential equations driven by Lévy noise. Journal of Applied Probability , 46 (4). pp. 1116-1129. ISSN 0021-9002
Abstract
Using key tools such as Ito's formula for general semimartingales, Kunita's moment estimates for Levy-type stochastic integrals, and the exponential martingale inequality, we find conditions under which the solutions to the stochastic differential equations (SDEs) driven by Levy noise are stable in probability, almost surely and moment exponentially stable.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Keywords: | Stochastic differential equation; Levy noise; Poisson random measure; Brownian motion; almost-sure asymptotic stability; moment exponential stability; Lyapunov exponent |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Science (Sheffield) > School of Mathematics and Statistics (Sheffield) |
Depositing User: | Miss Anthea Tucker |
Date Deposited: | 17 Feb 2010 14:20 |
Last Modified: | 16 Nov 2015 11:48 |
Published Version: | http://dx.doi.org/10.1239/jap/1261670692 |
Status: | Published |
Publisher: | Applied Probability Trust |
Identification Number: | 10.1239/jap/1261670692 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:10372 |