FIRST EXIT TIMES OF SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY MULTIPLICATIVE LÉVY NOISE WITH HEAVY TAILS

DOI10.1142/S0219493711003413zbMath1235.60069arXiv1205.6115MaRDI QIDQ3174004

Ilya Pavlyukevitch

Publication date: 11 October 2011

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.6115

zbMATH Keywords

stochastic differential equationLévy processstochastic integralfirst exit time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Related Items (12)

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