A Large Diffusion Expansion for the Transition Function of Levy Ornstein-Uhlenbeck Processes

Authors

Boubaker Smii, Department of Mathematics and Statistics, King Fahd University of Petroleum and Minerals, KFUPM Box 82, Dhahran 31261, Saudi ArabiaFollow

Author Country (or Countries)

Saudi Arabia

Abstract

We consider the L´evy Ornstein- Uhlenbeck process Xt described by the equation dXt = −l Xt dt+dLt , l > 0 and Lt a L´evy white noise. The corresponding semigroup is expressed by an expectation with respect to a pure jump Ornstein- Uhlenbeck process. A large diffusion expansion is then obtained. The expansion is organized by using suitable generalized Feynman graphs and rules. Applications on information sciences will be given.

Digital Object Identifier (DOI)

http://dx.doi.org/10.18576/amis/100434

Recommended Citation

Smii, Boubaker (2016) "A Large Diffusion Expansion for the Transition Function of Levy Ornstein-Uhlenbeck Processes," Applied Mathematics & Information Sciences: Vol. 10: Iss. 4, Article 34.
DOI: http://dx.doi.org/10.18576/amis/100434
Available at: https://digitalcommons.aaru.edu.jo/amis/vol10/iss4/34