Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise
Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise
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DOI：
10.1239/jap/1261670692
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发表时间：
2009-12
影响因子：
1
通讯作者：
D. Applebaum;M. Siakalli
中科院分区：
文献类型：
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作者：
D. Applebaum;M. Siakalli
使用一般半鞅公式、Kunita 的 Lévy 型随机积分矩估计和指数鞅不等式等关键工具，我们找到了由 Lévy 噪声驱动的随机微分方程 (SDE) 的解在概率上几乎肯定稳定且矩指数稳定的条件。
Using key tools such as Itô's formula for general semimartingales, Kunita's moment estimates for Lévy-type stochastic integrals, and the exponential martingale inequality, we find conditions under which the solutions to the stochastic differential equations (SDEs) driven by Lévy noise are stable in probability, almost surely and moment exponentially stable.