A Class of Lévy Driven SDEs and their Explicit Invariant Measures

Sergio Albeverio; Luca Di Persio; Elisa Mastrogiacomo; Boubaker Smii

doi:10.1007/s11118-016-9544-3

A Class of Lévy Driven SDEs and their Explicit Invariant Measures

Sergio Albeverio, Luca Di Persio, Elisa Mastrogiacomo, Boubaker Smii^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

24 Scopus citations

Abstract

We describe a class of explicit invariant measures for stochastic differential equations driven by Lévy noise. We relate them to the corresponding Fokker Planck equation. In the symmetric case, we point out the relation with the theory of Dirichlet forms and generalized Schrödinger type operators.

Original language	English
Pages (from-to)	229-259
Number of pages	31
Journal	Potential Analysis
Volume	45
Issue number	2
DOIs	https://doi.org/10.1007/s11118-016-9544-3
State	Published - 1 Aug 2016

Bibliographical note

Publisher Copyright:
© 2016, Springer Science+Business Media Dordrecht.

Keywords

Dirichlet forms
Ground state transformations
Invariant measures
Ornstein-Uhlenbeck Lévy processes
Stochastic differential equations

ASJC Scopus subject areas

Analysis

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10.1007/s11118-016-9544-3

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abstract = "We describe a class of explicit invariant measures for stochastic differential equations driven by L{\'e}vy noise. We relate them to the corresponding Fokker Planck equation. In the symmetric case, we point out the relation with the theory of Dirichlet forms and generalized Schr{\"o}dinger type operators.",

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AU - Persio, Luca Di

AU - Mastrogiacomo, Elisa

AU - Smii, Boubaker

PY - 2016/8/1

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AB - We describe a class of explicit invariant measures for stochastic differential equations driven by Lévy noise. We relate them to the corresponding Fokker Planck equation. In the symmetric case, we point out the relation with the theory of Dirichlet forms and generalized Schrödinger type operators.

KW - Dirichlet forms

KW - Ground state transformations

KW - Invariant measures

KW - Ornstein-Uhlenbeck Lévy processes

KW - Stochastic differential equations

UR - https://www.scopus.com/pages/publications/84962214054

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A Class of Lévy Driven SDEs and their Explicit Invariant Measures

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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