Approximations of Lévy processes by integrated fast oscillating Ornstein–Uhlenbeck processes

DOI10.1142/S0219493723400051MaRDI QIDQ6151510zbMATH OpenFDO

Authors Lingyu Feng, Ting Gao, Ting Li, Zhongjie Lin, Xian-Ming Liu

Publication date 11 March 2024

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

Full work available at URL https://doi.org/10.1142/S0219493723400051

zbMATH Keywords

\(\alpha\)-stable Lévy processesintegrated Ornstein-Uhlenbeck processesLévy processesSkorokhod \(M_1\)-topology

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites work

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• Derivative formulas and gradient estimates for SDEs driven by \(\alpha\)-stable processes
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• Small noise asymptotics and first passage times of integrated Ornstein-Uhlenbeck processes driven by \(\alpha\)-stable Lévy processes
• Stochastic-Process Limits
• Stratonovich stochastic differential equations driven by general semimartingales
• The distribution of exit times for weakly colored noise
• Time Change Representation of Stochastic Integrals

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