scientific article; zbMATH DE number 6866535

MaRDI QIDQ4638253

Yinan Ni, Erkan Nane

Publication date: 4 May 2018

Full work available at URL: http://alea.impa.br/articles/v15/15-20.pdf

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zbMATH Keywords

Lyapunov function methodpath stabilitytime-changed Lévy noiseexponential path stabilitySDEs driven by time-changed Lévy noise

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (16)

Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients ⋮ Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients ⋮ Stability of a non-Lipschitz stochastic Riemann-Liouville type fractional differential equation driven by Lévy noise ⋮ An averaging principle for stochastic differential delay equations driven by time-changed Lévy noise ⋮ Global attracting sets and exponential stability of stochastic functional differential equations driven by the time-changed Brownian motion ⋮ On the practical stability with regard to a part of the variables for distribution-dependent SDEs driven by time-changed Brownian motion ⋮ On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions ⋮ McKean-Vlasov stochastic differential equations driven by the time-changed Brownian motion ⋮ Spectral heat content for time-changed killed Brownian motions ⋮ Transportation inequalities for stochastic differential equations driven by the time-changed Brownian motion ⋮ Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations ⋮ Polynomial stability of highly non-linear time-changed stochastic differential equations ⋮ Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators ⋮ Asymptotic stability of the time-changed stochastic delay differential equations with Markovian switching ⋮ Stability of stochastic differential equations driven by the time-changed Lévy process with impulsive effects ⋮ A time-changed stochastic control problem and its maximum principle theory

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• Lévy Processes and Stochastic Calculus
• Inverse Stable Subordinators
• Option pricing when underlying stock returns are discontinuous

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