STOCHASTIC CONTROL BASED ON TIME-CHANGE TRANSFORMATIONS FOR STOCHASTIC PROCESSES WITH LEVY NOISE

被引：0

作者：

Bodnarchuk, S. V. ^{[1
]}

Kulik, O. M. ^{[2
]}

机构：

[1] Natl Tech Univ Ukraine KPI, Perem Ave 37, UA-03056 Kiev, Ukraine

[2] Natl Acad Sci Ukraine, Inst Math, UA-01601 Kiev, Ukraine

来源：

THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS | 2012年 / 86卷

关键词：

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We propose a new method of a stochastic control of stochastic processes with Levy noise, based on the time-change transformations. Using this method, for a Markov process defined by a stochastic equation with Levy noise, we prove that the minorization condition holds true in the integral form and obtain explicit estimates for the convergence rate in the ergodic theorem.

引用

页码：11 / 27

页数：17

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