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Properties of solutions of stochastic differential equations

✍ Scribed by R. Mikulevičius


Publisher
Springer
Year
1983
Tongue
English
Weight
569 KB
Volume
23
Category
Article
ISSN
0363-1672

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Asymptotic properties of solutions of mu
✍ G. Kersting 📂 Article 📅 1989 🏛 Springer 🌐 English ⚖ 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 .