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A Large Diffusion Expansion for the Transition Function of Levy Ornstein-Uhlenbeck Processes |
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PP: 1557-1564 |
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doi:10.18576/amis/100434
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Author(s) |
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Boubaker Smii,
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Abstract |
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| 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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