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arXiv · 1612.09044

Path stability of the solution of stochastic differential equation driven by time-changed L\'evy noises

Erkan Nane·Yinan Ni
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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.

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BibTeXRIS

Erkan Nane, Yinan Ni. 2016-12-29. Path stability of the solution of stochastic differential equation driven by time-changed L\'evy noises. https://doi.org/10.30757/alea.v15-20

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