A class of Lévy driven SDEs and their explicit invariant measures

DOI10.1007/S11118-016-9544-3zbMath1350.60049arXiv1407.3943OpenAlexW2197344677MaRDI QIDQ308998

Elisa Mastrogiacomo, Luca Di Persio, Boubaker Smii, Sergio A. Albeverio

Publication date: 6 September 2016

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.3943

zbMATH Keywords

stochastic differential equationsinvariant measuresDirichlet formsLévy noiseground state transformationLévy-type generatorsOrnstein-Uhlenbeck-Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Transition functions, generators and resolvents (60J35) Stochastic integral equations (60H20)

Related Items (14)

Linear response theory for nonlinear stochastic differential equations with \(\alpha\)-stable Lévy noises ⋮ Invariant measures and boundedness in the mean for stochastic equations driven by Lévy noise ⋮ A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps ⋮ Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process ⋮ Non-local Markovian symmetric forms on infinite dimensional spaces. II: Applications: non local stochastic quantization of space cut-off quantum fields and infinite particle systems ⋮ Gaussian estimates on networks with dynamic stochastic boundary conditions ⋮ Optimal control for the stochastic Fitzhugh-Nagumo model with recovery variable ⋮ A Functional Analytic Approach to Infinite Dimensional Stochastic Linear Systems ⋮ Non-local Markovian symmetric forms on infinite dimensional spaces. I: The closability and quasi-regularity ⋮ Asymptotic expansions for SDE's with small multiplicative noise ⋮ Asymptotic expansion for some local volatility models arising in finance ⋮ Processes of Meixner type ⋮ Asymptotic expansion of the transition density of the semigroup associated to a SDE driven by Lévy noise ⋮ Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate

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