Short-time behavior of solutions to Lévy-driven stochastic differential equations

DOI10.1017/jpr.2022.95zbMath1517.60067arXiv2008.00526OpenAlexW4315781570WikidataQ117220290 ScholiaQ117220290MaRDI QIDQ6116733

Jana Reker

Publication date: 16 August 2023

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.00526

zbMATH Keywords

short-time behaviorLévy-driven SDELIL-type results

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15) Stochastic integral equations (60H20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the small-time behaviour of Lévy-type processes
• The symbol associated with the solution of a stochastic differential equation
• Small time one-sided LIL behavior for Lévy processes at zero
• Small time two-sided LIL behavior for Lévy processes at zero
• The growth of random walks and Levy processes
• Stability and attraction to normality for Lévy processes at zero and at infinity
• Generalization of the Blumenthal-Getoor index to the class of homogeneous diffusions with jumps and some applications
• Passage of Lévy processes across power law boundaries at small times
• Solutions of Lévy-driven SDEs with unbounded coefficients as Feller processes
• LIL type behavior of multivariate Lévy processes at zero
• Local Behavior of Processes with Independent Increments

This page was built for publication: Short-time behavior of solutions to Lévy-driven stochastic differential equations