Asymptotic behavior of homogeneous additive functionals of the solutions of Itô stochastic differential equations with nonregular dependence on parameter

DOI10.15559/16-VMSTA58MaRDI QIDQ340833zbMATH OpenFDO

Authors Yuliya S. Mishura, G. L. Kulinich, Svitlana Kushnirenko

Publication date 15 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.03661

zbMATH Keywords

asymptoticsadditive functionalsdiffusion-type processesItô stochastic differential equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55)

Abstract: We study the asymptotic behavior of mixed functionals of the form $I_T(t)=F_T(x{i}_T(t))+in{t}_0^t{g}_T(x{i}_T(s)),dx{i}_T(s)$, $tge0$, as $Toinfty$. Here $x{i}_T(t)$ is a strong solution of the stochastic differential equation $dx{i}_T(t)=a_T(x{i}_T(t)),dt+d{W}_T(t)$, $T>0$ is a parameter, $a_T=a_T(x)$ are measurable functions such that $left|a_T(x)ight|leq{C}_T$ for all $xinmathbbR$, $W_T(t)$ are standard Wiener processes, $F_T=F_T(x)$, $xinmathbbR$, are continuous functions, $g_T=g_T(x)$, $xinmathbbR$, are locally bounded functions, and everything is real-valued. The explicit form of the limiting processes for $I_T(t)$ is established under very nonregular dependence of $g_T$ and $a_T$ on the parameter $T$.

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Cited in

(4)

• Asymptotic behavior of the martingale type integral functionals for unstable solutions to stochastic differential equations
• On the behavior of solutions of quasilinear elliptic equations of second order in unbounded domains
• Asymptotic behavior of functionals of the solutions to inhomogeneous Itô stochastic differential equations with nonregular dependence on parameter
• Weak convergence of integral functionals constructed from solutions of Itô's stochastic differential equations with non-regular dependence on a parameter

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