A Piecewise Linear Sde Driven by a Lévy Processes
نویسندگان
چکیده
We consider an SDE with piece-wise linear drift driven by a spectrally onesided Lévy process. We show this SDE has some connections with queueing and storage models and apply this to obtain the invariant distribution.
منابع مشابه
First Jump Approximation of a Lévy Driven SDE and an Application to Multivariate ECOGARCH Processes
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