✦ LIBER ✦

Asymptotic properties of solutions of multidimensional stochastic differential equations

✍ Scribed by G. Kersting

Publisher: Springer
Year: 1989
Tongue: English
Weight: 916 KB
Volume: 82
Category: Article
ISSN: 1432-2064
DOI: 10.1007/bf00354759

No coin nor oath required. For personal study only.

✦ Synopsis

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 .

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