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Asymptotic stability of stochastic differential equations driven by Lévy noise

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

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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.

Item Type: Article
Keywords: Stochastic differential equation; Levy noise; Poisson random measure; Brownian motion; almost-sure asymptotic stability; moment exponential stability; Lyapunov exponent
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: 08 Feb 2013 16:59
Published Version: http://dx.doi.org/10.1239/jap/1261670692
Status: Published
Publisher: Applied Probability Trust
Identification Number: 10.1239/jap/1261670692
URI: http://eprints.whiterose.ac.uk/id/eprint/10372

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