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

G. Samorodnitsky and M. Grigoriu

Stochastic Processes and their Applications, 2003, vol. 105, issue 1, 69-97

Abstract: 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.

Keywords: Stochastic; differential; equation; Lévy; motion; Heavy; tails; Markov; process; Stationary; distribution; Coupling; Storage; processes (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (5)

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