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Stability theorem for stochastic differential equations with jumps

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  • Kasahara, Yuji
  • Yamada, Keigo

Abstract

Convergence in law of solutions of SDE having jumps is discussed assuming suitable convergence of the coefficients under a situation where the point process approaches a Poisson point process. As an application the asymptotic behavior of certain stochastic processes such as storage processes and random walks is also discussed.

Suggested Citation

  • Kasahara, Yuji & Yamada, Keigo, 1991. "Stability theorem for stochastic differential equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 38(1), pages 13-32, June.
    • Handle: RePEc:eee:spapps:v:38:y:1991:i:1:p:13-32
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    Cited by:

    1. Aleksander Janicki & Zbigniew Michna & Aleksander Weron, 1996. "Approximation of stochastic differential equations driven by alpha-stable Levy motion," HSC Research Reports HSC/96/02, Hugo Steinhaus Center, Wroclaw University of Technology.
    2. Janicki, Aleksander, 1995. "Computer simulation of diffusions driven by α-stable Lévy motion," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 97-101.

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