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Asymptotic moment boundedness of the numerical solutions of stochastic differential equations

โœ Scribed by Liu, Wei; Mao, Xuerong


Book ID
123496165
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
412 KB
Volume
251
Category
Article
ISSN
0377-0427

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Asymptotic properties of solutions of mu
โœ G. Kersting ๐Ÿ“‚ Article ๐Ÿ“… 1989 ๐Ÿ› Springer ๐ŸŒ English โš– 916 KB

Let XteIR d be the solution of the stochastic equation dX t = b(Xt) dt + a(X,) dWt, where Wt denotes a standard Wiener process. The aim of the paper is to clarify under which conditions the drift term or the diffusion term is of negligible significance for the long term behaviour of X t .