On the rate of convergence of an unstable solution of a stochastic differential equation
We study the rate of convergence of the process $ξ(tT)/\sqrt{T}$ to the process $w(t)/σ$ as $T → ∞$, where $ξ(t)$ is a solution of the stochastic differential equationd $ξ(t) = a(ξ(t))dt + σ(ξ(t))dw(t)$.
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| Date: | 1994 |
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| Main Authors: | , |
| Format: | Article |
| Language: | Russian English |
| Published: |
Institute of Mathematics, NAS of Ukraine
1994
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/5626 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
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