Distribution tails for solutions of SDE driven by an
asymmetric stable Lévy process
The behaviour of the tails of the invariant distribution for stochastic differential equations
driven by an asymmetric stable Lévy process is obtained. We generalize a result by Samorodnitsky and Grigoriu
where the stable driving noise was supposed to be symmetric.
2010 AMS Mathematics Subject Classification: Primary 60H10; Secondary 60G52, 60E07, 60F17.
Keywords and phrases: stochastic differential equation, asymmetric stable Lévy noise, tail behaviour, ergodic processes, stationary distribution.