Invariant measure and stability of the solution of a stochastic differential equation driven by a jump Lévy process (Q2907663)
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scientific article; zbMATH DE number 6080546
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Invariant measure and stability of the solution of a stochastic differential equation driven by a jump Lévy process |
scientific article; zbMATH DE number 6080546 |
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11 September 2012
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stochastic differential equations
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Lévy process
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exponential stability
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invariant measure
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Invariant measure and stability of the solution of a stochastic differential equation driven by a jump Lévy process (English)
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Using Lyapunov functions the authors examine the recurrence behaviour of interest rate models driven by Lévy processes. Earlier work on the recurrence consequent on exponential ultimate boundedness is generalized. Examples to stock price models and Vasicek models are provided.
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