A limit theorem for singular stochastic differential equations

Publication date 21 November 2016

Abstract: We study the weak limits of solutions to SDEs [dX_n(t)=a_n�igl(X_n(t)�igr),dt+dW(t),] where the sequence

a_{n}

converges in some sense to

(c_{-} 1 m k e r n - 4.5 m u m a t h r m l_{x < 0} + c_{+} 1 m k e r n - 4.5 m u m a t h r m l_{x > 0}) / x + g a m m a d e l t a_{0}

. Here

d e l t a_{0}

is the Dirac delta function concentrated at zero. A limit of

X_{n}

may be a Bessel process, a skew Bessel process, or a mixture of Bessel processes.

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