Long-time behaviors of some stochastic differential equations driven by Lévy noise

2024/02/08 by I. V. Orlovskyi, Orlovskyi, I., Frank Proske +3
Economics, Econometrics and Finance · #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2402.05594

openalex publication_date 2024/02/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Using key tools such as Itô formula for general semi-martingales, moments estimates for Lévy-type stochastic integrals and properties of regular varying functions we find conditions under which solutions of stochastic differential equation with jumps are almost sure asymptotically equivalent nonrandom function with t→ ∞.

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