Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Levy motions

被引：23

作者：

Samorodnitsky, G ^{[1
]}

Grigoriu, M

机构：

[1] Cornell Univ, Sch Operat Res & Ind Engn, Ithaca, NY 14853 USA

[2] Cornell Univ, Dept Stat Sci, Ithaca, NY 14853 USA

[3] Cornell Univ, Sch Civil & Environm Engn, Ithaca, NY 14853 USA

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2003年 / 105卷 / 01期

基金：

美国国家科学基金会;

关键词：

stochastic differential equation; Levy motion; heavy tails; Markov process; stationary distribution; coupling; storage processes;

D O I：

10.1016/S0304-4149(03)00002-4

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We describe the exact tail behavior of the solutions to certain nonlinear stochastic differential equations driven by Levy motions with regularly varying tails and establish existence and uniqueness of solutions to these equations. (C) 2003 Elsevier Science B.V. All rights reserved.

引用

页码：69 / 97

页数：29

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