Generalized Peano problem with Levy noise

Generalized Peano problem with Levy noise

We revisit the zero-noise Peano selection problem for Levy-driven stochastic differential equation considered in [Pilipenko and Proske, Statist. Probab. Lett., 132:62-73, 2018] and show that the selection phenomenon pertains in the multiplicative noise setting and is robust with respect to certain p...

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Veröffentlicht in:Electronic communications in probability 2020-01, Vol.25 (none), Article 85
Hauptverfasser: Pavlyukevich, Ilya, Pilipenko, Andrey
Format: Artikel
Sprache:eng
Schlagworte:
Mathematics
Physical Sciences
Science & Technology
Statistics & Probability
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Zusammenfassung:We revisit the zero-noise Peano selection problem for Levy-driven stochastic differential equation considered in [Pilipenko and Proske, Statist. Probab. Lett., 132:62-73, 2018] and show that the selection phenomenon pertains in the multiplicative noise setting and is robust with respect to certain perturbations of the irregular drift and of the small jumps of the noise.
ISSN:1083-589X
1083-589X
DOI:10.1214/20-ECP365