A large diffusion expansion for the transition function of lévy ornstein-uhlenbeck processes

Boubaker Smii

doi:10.18576/amis/100434

A large diffusion expansion for the transition function of lévy ornstein-uhlenbeck processes

Boubaker Smii^*

^*Corresponding author for this work

Department of Mathematics

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

3 Scopus citations

Abstract

We consider the Lévy Ornstein- Uhlenbeck process X_t described by the equation dX_t = -λ X_t dt+dLt, λ > 0 and Lt a Lévy white noise. The corresponding semigroup is expressed by an expectation with respect to a pure jump Ornstein- Uhlenbeck process. A large diffusion expansion is then obtained. The expansion is organized by using suitable generalized Feynman graphs and rules. Applications on information sciences will be given.

Original language	English
Pages (from-to)	1557-1564
Number of pages	8
Journal	Applied Mathematics and Information Sciences
Volume	10
Issue number	4
DOIs	https://doi.org/10.18576/amis/100434
State	Published - 2016

Bibliographical note

Publisher Copyright:
© 2016 NSP.

Keywords

Feynman graphs and rules
Large diffusion expansion
Lévy ornstein- uhlenbeck processes

ASJC Scopus subject areas

Analysis
Numerical Analysis
Computer Science Applications
Computational Theory and Mathematics
Applied Mathematics

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10.18576/amis/100434

Cite this

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abstract = "We consider the L{\'e}vy Ornstein- Uhlenbeck process Xt described by the equation dXt = -λ Xt dt+dLt, λ > 0 and Lt a L{\'e}vy white noise. The corresponding semigroup is expressed by an expectation with respect to a pure jump Ornstein- Uhlenbeck process. A large diffusion expansion is then obtained. The expansion is organized by using suitable generalized Feynman graphs and rules. Applications on information sciences will be given.",

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N2 - We consider the Lévy Ornstein- Uhlenbeck process Xt described by the equation dXt = -λ Xt dt+dLt, λ > 0 and Lt a Lévy white noise. The corresponding semigroup is expressed by an expectation with respect to a pure jump Ornstein- Uhlenbeck process. A large diffusion expansion is then obtained. The expansion is organized by using suitable generalized Feynman graphs and rules. Applications on information sciences will be given.

AB - We consider the Lévy Ornstein- Uhlenbeck process Xt described by the equation dXt = -λ Xt dt+dLt, λ > 0 and Lt a Lévy white noise. The corresponding semigroup is expressed by an expectation with respect to a pure jump Ornstein- Uhlenbeck process. A large diffusion expansion is then obtained. The expansion is organized by using suitable generalized Feynman graphs and rules. Applications on information sciences will be given.

KW - Feynman graphs and rules

KW - Large diffusion expansion

KW - Lévy ornstein- uhlenbeck processes

UR - https://www.scopus.com/pages/publications/84980347765

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DO - 10.18576/amis/100434

M3 - Article

AN - SCOPUS:84980347765

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JO - Applied Mathematics and Information Sciences

JF - Applied Mathematics and Information Sciences

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ER -

A large diffusion expansion for the transition function of lévy ornstein-uhlenbeck processes

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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