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Contents of PMS, Vol. 40, Fasc. 2,
pages 317 - 330
DOI: 10.37190/0208-4147.40.2.7
Published online 5.8.2020
 

Distribution tails for solutions of SDE driven by an asymmetric stable Lévy process

Richard Eon
Mihai Gradinaru

Abstract: 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.

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