Characteristic function for the stationary state of a one-dimensional dynamical system with Lévy noise (Q2371532)

In this paper, one shows how one can calculate the characteristic function of a diffusion process driven by a Lévy noise, defined as the derivative of a symmetric \(\alpha\)-stable Lévy motion process. To this end, one combines the Itô's formula for arbitrary diffusion processes, with some results related to Poisson white noise involving \(\alpha\)-stable jumps, and an approximate Lévy white noise. Numerical simulations support the model.