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A piecewise linear stochastic differential equation driven by a Lévy process
Published online by Cambridge University Press: 14 July 2016
Abstract
We consider a stochastic differential equation (SDE) with piecewise linear drift driven by a spectrally one-sided Lévy process. We show that this SDE has some connections with queueing and storage models, and we use this observation to obtain the invariant distribution.
Keywords
- Type
- Part 2. Lévy Processes
- Information
- Journal of Applied Probability , Volume 48 , Issue A: New Frontiers in Applied Probability (Journal of Applied Probability Special Volume 48A) , August 2011 , pp. 109 - 119
- Copyright
- Copyright © Applied Probability Trust 2011
References
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