Characteristic function for the stationary state of a one-dimensional dynamical system with Lévy noise (Q2371532)
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scientific article; zbMATH DE number 5169928
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| English | Characteristic function for the stationary state of a one-dimensional dynamical system with Lévy noise |
scientific article; zbMATH DE number 5169928 |
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Characteristic function for the stationary state of a one-dimensional dynamical system with Lévy noise (English)
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5 July 2007
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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.
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diffusion with jumps
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Lévy white noise
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characteristic function
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Itô's formula
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0.7611038684844971
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0.748431384563446
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0.7319974303245544
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0.7289015054702759
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0.7267190217971802
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