On solutions of one-dimensional stochastic differential equations driven by stable Lévy motion

P. A. Zanzotto

Stochastic Processes and their Applications, 1997, vol. 68, issue 2, 209-228

Abstract: We consider the stochastic differential equation dXt= b(Xt)dZt, t[greater-or-equal, slanted]o, where b is a Borel measurable real function and Z is a symmetric [alpha]-stable Lévy motion. In Section 1 we study the convergence of certain functionals of Z and in particular, we extend Engelbert and Schmidt 0-1 law (for functionals of the Wiener process) to functionals of a symmetric [alpha]-stable Lévy motion with 1

Keywords: [alpha]-Stable; Lévy; motions; 0-1; Law; Stochastic; differential; equations; Existence; Local; existence; Stable; integrals; Purely; discontinuous; martingales; Random; measures; Time; change (search for similar items in EconPapers)
Date: 1997
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