Asymptotic evaluation of the Poisson measures for tubes around jump curves

Xavier Bardina, Carles Rovira, Samy Tindel
2002 Applicationes Mathematicae  
We find the asymptotic behavior of P ( X − φ ≤ ε) when X is the solution of a linear stochastic differential equation driven by a Poisson process and φ the solution of a linear differential equation driven by a pure jump function.
doi:10.4064/am29-2-3 fatcat:ezembejslbfwnknctx6nea6p7e