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.
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