Stability theorem for stochastic differential equations with jumps

Convergence in law of solutions of SDE having jumps is discussed assuming suitable convergence of the coefficients under a situation where the point process approaches a Poisson point process. As an application the asymptotic behavior of certain stochastic processes such as storage processes and random walks is also discussed.

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Year of publication:	1991
Authors:	Kasahara, Yuji ; Yamada, Keigo
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 38.1991, 1, p. 13-32
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874938