Limit behavior of functionals of solutions of diffusion type equations
Authors:
G. L. Kulinich, S. V. Kushnirenko and Yu. S. Mishura
Translated by:
N. Semenov
Journal:
Theor. Probability and Math. Statist. 92 (2016), 93-107
MSC (2010):
Primary 60H10; Secondary 60J60
DOI:
https://doi.org/10.1090/tpms/985
Published electronically:
August 10, 2016
MathSciNet review:
3553429
Full-text PDF Free Access
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Abstract: The asymptotic behavior as $T \to \infty$ of the functionals $I (tT)$ with an appropriate normalizing factor is studied, where $I (t) = F (\xi (t)) + \int _ {0} ^ {t} g (\xi (s)) dW (s)$, $t \ge 0$, $F$ is a continuous function, $g$ is a locally square integrable function, $\xi$ is an unstable solution of the Itô stochastic differential equation $d \xi (t) = a (\xi (t)) dt + dW (t)$, and $a$ is a measurable and bounded function. We find the normalizing factor for the weak convergence of stochastic processes $I(tT)$, $t\ge 0$, for certain classes of these equations. The explicit form of the limit processes is established.
References
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References
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Additional Information
G. L. Kulinich
Affiliation:
Department of General Mathematics, Faculty for Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Volodymyrs’ka Street, 64/13, 01601, Kyiv, Ukraine
Email:
zag$_$mat@univ.kiev.ua
S. V. Kushnirenko
Affiliation:
Department of General Mathematics, Faculty for Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Volodymyrs’ka Street, 64/13, 01601, Kyiv, Ukraine
Email:
bksv@univ.kiev.ua
Yu. S. Mishura
Affiliation:
Department of Probability Theory, Statistics, and Actuarial Mathematics, Faculty for Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Volodymyrs’ka Street, 64/13, 01601, Kyiv, Ukraine
Email:
myus@univ.kiev.ua
Keywords:
Diffusion type processes,
limit behavior of functionals,
unstable solutions of stochastic differential equations
Received by editor(s):
February 24, 2015
Published electronically:
August 10, 2016
Article copyright:
© Copyright 2016
American Mathematical Society