A Class of Lévy Driven SDEs and their Explicit Invariant Measures

We describe a class of explicit invariant measures for stochastic differential equations driven by Lévy noise. We relate them to the corresponding Fokker Planck equation. In the symmetric case, we point out the relation with the theory of Dirichlet forms and generalized Schrödinger type operators.

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Bibliographic Details
Published in:Potential analysis 2016-08, Vol.45 (2), p.229-259
Main Authors: Albeverio, Sergio, Persio, Luca Di, Mastrogiacomo, Elisa, Smii, Boubaker
Format: Article
Language:English
Subjects:
Functional Analysis
Geometry
Mathematics
Mathematics and Statistics
Potential Theory
Probability Theory and Stochastic Processes
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Description
Summary:We describe a class of explicit invariant measures for stochastic differential equations driven by Lévy noise. We relate them to the corresponding Fokker Planck equation. In the symmetric case, we point out the relation with the theory of Dirichlet forms and generalized Schrödinger type operators.
ISSN:0926-2601
1572-929X
DOI:10.1007/s11118-016-9544-3