Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions

We describe the exact tail behavior of the solutions to certain nonlinear stochastic differential equations driven by Lévy motions with regularly varying tails and establish existence and uniqueness of solutions to these equations.

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Year of publication:	2003
Authors:	Samorodnitsky, G. ; Grigoriu, M.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 105.2003, 1, p. 69-97
Publisher:	Elsevier
Keywords:	Stochastic differential equation Lévy motion Heavy tails Markov process Stationary distribution Coupling Storage processes

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

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