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Teoreticheskaya i Matematicheskaya Fizika, 2007, Volume 150, Number 3, Pages 391–408
DOI: https://doi.org/10.4213/tmf5986 (Mi tmf5986) 		 
This article is cited in 12 scientific papers (total in 12 papers)

Characteristic function for the stationary state of a one-dimensional dynamical system with Lévy noise

G. P. Samorodnitsky, M. Grigoriu

Cornell University
Full-text PDF (582 kB) Citations (12)
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DOI: https://doi.org/10.4213/tmf5986
Abstract: We develop a practical method for calculating the characteristic function of diffusion processes driven by Lévy white noise. The method is based on the Itô formula for semimartingales, a differential equation developed for the characteristic function of diffusion processes driven by Poisson white noise with jumps that may not have finite moments, and on approximate representations of the Lévy white noise process. Numerical results show that the proposed method is very accurate and is consistent with previous theoretical findings.
Keywords: diffusion with jumps, Lévy white noise, characteristic function, stationary solution, Itô formula.
Received: 14.04.2006
English version:
Theoretical and Mathematical Physics, 2007, Volume 150, Issue 3, Pages 332–346
DOI: https://doi.org/10.1007/s11232-007-0025-0
Bibliographic databases:
Language: Russian
Citation: G. P. Samorodnitsky, M. Grigoriu, “Characteristic function for the stationary state of a one-dimensional dynamical system with Lévy noise”, TMF, 150:3 (2007), 391–408; Theoret. and Math. Phys., 150:3 (2007), 332–346
Citation in format AMSBIB
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    • This publication is cited in the following 12 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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