Applied Mathematics & Information Sciences

Author Country (or Countries)

Saudi Arabia


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.

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