Long-time behaviors of some stochastic differential equations driven by Lévy noise
Using key tools such as Itô's formula for general semi-martingales, moment estimates for Lévy-type stochastic integrals, and properties of regularly varying functions we find conditions under which solutions of a stochastic differential equation with jumps are almost surely asymptotically equivalent to a nonrandom function as t → ∞ .
Authors
- Olena A. Tymoshenko (ORCID: https://orcid.org/0000-0003-1885-7275)
- I. V. Orlovskyi (ORCID: https://orcid.org/0000-0003-0922-1611)
- Frank Proske (ORCID: https://orcid.org/0000-0002-0463-0726)
Publication Details
- Journal
- Journal of Differential Equations
- Published
- 2025-06-16
- DOI
- https://doi.org/10.1016/j.jde.2025.113561
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00