ASYMPTOTIC BEHAVIOR OF THE INTEGRAL FUNCTIONALS FOR UNSTABLE SOLUTIONS OF ONE-DIMENSIONAL ITO STOCHASTIC DIFFERENTIAL EQUATIONS

被引：0

作者：

Kulinich, G. L. ^{[1
]}

Kushnirenko, S. V. ^{[1
]}

Mishura, Y. S. ^{[2
]}

机构：

[1] Taras Shevchenko Natl Univ Kyiv, Fac Mech & Math, Dept Gen Math, 64-13 Volodymyrska St, UA-01601 Kiev, Ukraine

[2] Taras Shevchenko Natl Univ Kyiv, Fac Mech & Math, Dept Probabil Theory Stat & Actuarial Math, UA-01601 Kiev, Ukraine

来源：

THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS | 2013年 / 89卷

关键词：

Ito stochastic differential equation; unstable solution; asymptotic behavior of integral functionals;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the stochastic one-dimensional differential equations with homogeneous drift and unit diffusion. The drift satisfies conditions supplying the unstable property of the unique strong solution. The explicit form of normalizing factor for certain integral functionals of unstable solution is established to provide the weak convergence to the limiting process. As a result we get the new class of limiting processes that are the functionals of Bessel diffusion processes.

引用

页码：91 / 103

页数：13

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