Lyapunov exponents of stochastic differential equations driven by Levy processes

作者：Qiao, Huijie^*; Duan, Jinqiao

来源：Dynamical Systems, 2016, 31(2): 136-150.

DOI：10.1080/14689367.2015.1068275

• Lyapunov exponents
• Levy processes
• stochastic differential equations driven by Levy processes
• a multiplicative ergodic theorem
• 60H10
• 60G51
• 37B25

Lyapunov exponents are studied for stochastic differential equations driven by Levy processes. The transformation from stochastic differential equations to random integral equations and a multiplicative ergodic theorem are used. Moreover, the result is applied to physical and economic problems.

• 出版日期2016-6
• 单位东南大学