Lyapunov exponents of stochastic differential equations driven by Levy processes

被引：2
|
作者：
Qiao, Huijie [1 ]
Duan, Jinqiao [2 ]
机构：
[1] Southeast Univ, Dept Math, Nanjing, Jiangsu, Peoples R China
[2] IIT, Dept Appl Math, Chicago, IL 60616 USA
来源：
DYNAMICAL SYSTEMS-AN INTERNATIONAL JOURNAL | 2016年 / 31卷 / 02期
关键词：
Lyapunov exponents; Levy processes; stochastic differential equations driven by Levy processes; a multiplicative ergodic theorem; 60H10; 60G51; 37B25; SYSTEMS;
D O I：
10.1080/14689367.2015.1068275
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Lyapunov exponents are studied for stochastic differential equations driven by Levy processes. The transformation from stochastic differential equations to random integral equations and a multiplicative ergodic theorem are used. Moreover, the result is applied to physical and economic problems.
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页码：136 / 150
页数：15
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