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Results tagged with levy-processes
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user 498406
Theory and applications of Lévy processes (stochastic processes with stationary and independent increments): e.g. path properties, stochastic differential equations driven by jump-type processes, fluctuation theory of Lévy processes, queuing theory.
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Stationary Distribution of Langevin Dynamics driven by Lévy Process
Let $f\geq 0$ be a Lipschitz function and let $(L_t)_{t\geq 0}$ be an $\alpha$-stable Lévy process ($0<\alpha<2$, possibly multivariate). Consider the process given by $$dX_t=-\nabla f(X_t)dt+\sigma d …
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