Invariant measure and stability of the solution of a stochastic differential equation driven by a jump Lévy process (Q2907663)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Invariant measure and stability of the solution of a stochastic differential equation driven by a jump Lévy process |
scientific article; zbMATH DE number 6080546
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Invariant measure and stability of the solution of a stochastic differential equation driven by a jump Lévy process |
scientific article; zbMATH DE number 6080546 |
Statements
11 September 2012
0 references
stochastic differential equations
0 references
Lévy process
0 references
exponential stability
0 references
invariant measure
0 references
Invariant measure and stability of the solution of a stochastic differential equation driven by a jump Lévy process (English)
0 references
Using Lyapunov functions the authors examine the recurrence behaviour of interest rate models driven by Lévy processes. Earlier work on the recurrence consequent on exponential ultimate boundedness is generalized. Examples to stock price models and Vasicek models are provided.
0 references
0.8075119853019714
0 references
0.7771166563034058
0 references
0.7525845766067505
0 references
0.7516282796859741
0 references
0.7503927946090698
0 references
