No label defined (Q4508136)

Let \(\xi\) be a solution of the equation \[ d\xi(t)= b(t,\xi(t)) dt+ \sigma(t,\xi(t)) dw(t) \] with periodic coefficients (non-degenerate \(\sigma\)). It is proved that the random variable \(\xi(t)/\sqrt t-\lambda\sqrt t\) converges to a Gaussian random variable as \(t\to\infty\). Next, if \(\psi\) satisfies \[ \lim_{t\to\infty} {\psi(t)\over\sqrt t}= \infty,\quad\lim_{t\to \infty} {\psi(t)\over t}= 0, \] then the family of probabilities \(P^t(A)= P\{{\xi(t)- \lambda t\over \psi(t)}\in A\}\) satisfies the large deviations principle. Finally, the law of iterated logarithm is studied. For the entire collection see [Zbl 0942.60001].