Work

On ergodic property of the solution to a Lévy-driven SDE

Year: 2024

Type: preprint

Abstract: In this paper, we investigate ergodicity in total variation of the process $X_t$, related to a Lévy-driven stochastic differential equation with unbounded coefficients, and describe the speed of convergence to the respective invariant measure. Some examples are provided.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2409.01720

Authors: Knopova, Victoria, Mokanu, Yana

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Deutscher Akademischer Austauschdienst, Technische Universität Dresden, Taras Shevchenko National University of Kyiv

OpenAlex ID: W4402955166

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