Work

Limit theorems of stochastic differential equations with jumps

Year: 2025

Type: article

Abstract: This work concerns stochastic differential equations with jumps. We prove convergence for solutions to a sequence of (possibly degenerate) stochastic differential equations with jumps when the coefficients converge in some appropriate sense. Then some special cases are analyzed and some concrete and verifiable conditions are given.

Source: Journal of Applied Probability

DOI: 10.1017/jpr.2025.17

Author: Huijie Qiao

Institution: Southeast University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Natural Science Foundation of China, China Scholarship Council

Awards: G6585490278, 带跳随机偏微分方程的若干问题的研究, 粗糙路径理论在随机偏微分方程中的应用, 带跳随机偏微分方程若干性质研究