Path stability of the solution of stochastic differential equation driven by time-changed L\'evy noises
Probability
2020-02-17 v1 Mathematical Physics
Analysis of PDEs
Dynamical Systems
math.MP
Abstract
This paper studies path stabilities of the solution to stochastic differential equations (SDE) driven by time-changed L\'evy noise. The conditions for the solution of time-changed SDE to be path stable and exponentially path stable are given. Moreover, we reveal the important role of the time drift in determining the path stability properties of the solution. Related examples are provided.
Keywords
Cite
@article{arxiv.1612.09044,
title = {Path stability of the solution of stochastic differential equation driven by time-changed L\'evy noises},
author = {Erkan Nane and Yinan Ni},
journal= {arXiv preprint arXiv:1612.09044},
year = {2020}
}
Comments
25 pages, 7 figures, submitted for publication