Work

Path stability of stochastic differential equations driven by time-changed Lévy noises

Year: 2018

Type: article

Abstract: This paper studies path stabilities of the solution to stochastic differential equations (SDE) driven by time-changed Lévy noise. The conditions for the solution of time-changed SDE to be path stable and exponentially path stable are given. Moreover, we reveal the important role of the time drift in determining the path stability properties of the solution. Related examples are provided.

Source: Latin American Journal of Probability and Mathematical Statistics

DOI: 10.30757/alea.v15-20

Authors: Erkan Nane, Yinan Ni

Institution: Auburn University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2950146188

FWCI: 1.984

Cites: 17

Cited by: 31

Related to: 10