Stability in distribution of forward stochastic flows (Q5955627): Difference between revisions
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Latest revision as of 22:49, 3 June 2024
scientific article; zbMATH DE number 1705617
Language | Label | Description | Also known as |
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English | Stability in distribution of forward stochastic flows |
scientific article; zbMATH DE number 1705617 |
Statements
Stability in distribution of forward stochastic flows (English)
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11 September 2003
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Under suitable conditions on the local characteristic of the semimartingale \(F\) the forward flow \(\varphi_{s,t}\) governed by \(\varphi_{s,t}(x) = x + \int^t_s F(\varphi_{s,u},du)\) is stable in distribution, and its limiting distribution is independent of the initial position, the initial moment, and the local characteristic of \(F\). Instead of considering the joint law of \(\varphi_{s,t}\) and \(F\) the authors look at the distribution of the flow itself. They first study the special case in which the local characteristic belongs to the class \(B^{0,1}_{u,b}\) and is absolutely continuous with respect to the Lebesgue measure and then apply a time change.
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forward stochastic flow
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stability in distributions
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local characteristic
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