Invariant measure and stability of the solution of a stochastic differential equation driven by a jump Lévy process

MaRDI QIDQ2907663zbMATH OpenFDO

Authors Chandni Bhan, Paramita Chakraborty, V. S. Mandrekar

Publication date 11 September 2012

Published in International Journal of Contemporary Mathematical Sciences (Search for Journal in Brave)

Full work available at URL http://www.m-hikari.com/ijcms/ijcms-2012/1-4-2012/index.html

zbMATH Keywords

exponential stabilityinvariant measurestochastic differential equationsLévy process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability of topological dynamical systems (37B25) Robust stability (93D09) Stochastic processes (60G99)

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Cited in

(8)

• Sufficient conditions for terminal invariance of stochastic jump diffusion systems
• Stability of the solution of stochastic differential equation driven by time-changed Lévy noise
• The stochastic stability of interest rates with jump changes
• Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise
• Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
• Stability behavior of some well-known stochastic financial models
• Recurrence properties of term structure models
• Invariant measures and boundedness in the mean for stochastic equations driven by Lévy noise

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