Asymptotic evaluation of the Poisson measures for tubes around jump curves
Work
Year: 2002
Type: article
Abstract: We find the asymptotic behavior of $P(\|X-\phi\|\le\varepsilon )$ when $X$ is the solution of a linear stochastic differential equation driven by a Poisson process and $\phi$ the solution of a linear ... more
Source: Applicationes Mathematicae
Authors Xavier Bardina, Carles Rovira, Samy Tindel
Institutions Universitat Autònoma de Barcelona, Universitat de Barcelona, Université Sorbonne Paris Nord
Cites:
Cited by: 5
Related to: 10
FWCI:
Citation percentile (by year/subfield): 63.49
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid