Title of article
Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions
Author/Authors
Samorodnitsky، نويسنده , , G. and Grigoriu، نويسنده , , M.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
29
From page
69
To page
97
Abstract
We describe the exact tail behavior of the solutions to certain nonlinear stochastic differential equations driven by Lévy motions with regularly varying tails and establish existence and uniqueness of solutions to these equations.
Keywords
stochastic differential equation , Heavy tails , Storage processes , Markov process , Lévy motion , Stationary distribution , Coupling
Journal title
Stochastic Processes and their Applications
Serial Year
2003
Journal title
Stochastic Processes and their Applications
Record number
1577217
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