Asymptotic evaluation of the Poisson measures for tubes around jump curves

• Autorzy: Xavier Bardina , Carles Rovira , Samy Tindel
• Języki publikacji: EN

Abstrakty

EN

We find the asymptotic behavior of P(||X-ϕ|| ≤ ε) when X is the solution of a linear stochastic differential equation driven by a Poisson process and ϕ the solution of a linear differential equation driven by a pure jump function.

Kategorie tematyczne

• 60H10: Stochastic ordinary differential equations
• 60G17: Sample path properties

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2002
• Tom: 29
• Numer: 2
• Strony: 145-156

Daty

wydano

2002

Twórcy

autor

Xavier Bardina

• Departament de Matemàtiques, Universitat Autònoma de Barcelona, 08193 Bellaterra, Barcelona, Spain

autor

Carles Rovira

• Facultat de Matemàtiques, Universitat de Barcelona, Gran Via 585, 08007 Barcelona, Spain

autor

Samy Tindel

• Institut Galilée, Université Paris 13, Avenue J. B. Clément, 93430 Villetaneuse, France

Identyfikatory

DOI

10.4064/am29-2-3