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Items for "Multidimensional Levy processes"

Stochastic equations with multidimensional drift driven by Levy processes

The stochastic equation

dXt = dLt + a(t,Xt )dt, t > 0,

is considered where L is a d-dimensional Levy process with the characteristic exponent (ξ), ξ ∈ Bbb R, d > 1...

Keywords: Multidimensional Levy processes, stochastic differential equations, time-dependent drift, weak convergence

12/2006 | Random Operators and Stochastic Equations, Walter de Gruyter