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Asymptotic stability of solutions of systems of stochastic differential equations in the critical case

โœ Scribed by L. I. Yasyns'ka; I. V. Yurchenko


Book ID
112471778
Publisher
Springer
Year
1995
Tongue
English
Weight
343 KB
Volume
47
Category
Article
ISSN
0041-5995

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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 .