•  
  •  
 

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.

Suggested Reviewers

N/A

Digital Object Identifier (DOI)

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

Share

COinS