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

DOI10.15559/16-VMSTA58zbMATH Open1352.60049arXiv1607.03661MaRDI QIDQ340833FDOQ340833

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)

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 $T$.

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

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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)

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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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