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
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
Journal title :
Stochastic Processes and their Applications
