Asymptotic evaluation of the Poisson measures for tubes around jump curves
Volume 29 / 2002
Applicationes Mathematicae 29 (2002), 145-156
MSC: 60G17, 60H10.
DOI: 10.4064/am29-2-3
Abstract
We find the asymptotic behavior of $P(\|X-\phi\|\le\varepsilon )$ 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.
