Asymptotic evaluation of the Poisson measures for tubes around a jump curves
Xavier Bardina*, Carles Rovira^ and Samy Tindel'.
*Departament de Matemàtiques, Edifici C, Universitat
Autònoma de Barcelona
08193 Bellaterra, Barcelona, Spain
^ Facultat de Matemàtiques, Universitat de Barcelona,
Gran Via 585, 08007-Barcelona, Spain
' Département de Mathématiques, Institut
Galilée - Université Paris 13, Avenue J. B. Clément,
93430-Villetaneuse, France.
Abstract
We find the symptotic behavior of $P(\|X-\Phi\!\leq\varepsilon)$ when
$X$ is the solution of a linear stochastic differential equation driven
by a Poisson process and $\Phi$ the solution of a linear differential equation
driven by a pure jump function.
Published in: Applicationes Mathematicae, 29 (2), 145-156, 2002