scientific article; zbMATH DE number 1409875

The authors consider the stochastic differential equation \[ d\xi_{T}(t)=a_{T}(\xi_{T}(t))dt+ \sigma_{T}(\xi_{T}(t))dw_{T}(t), \quad 0\leq t\leq T, \tag{1} \] where \(a_{T}(x)\), \(\sigma_{T}(x)\), \(x\in(-\infty,\infty)\), are real measurable functions such that \(a_{T}^2(x)+ \sigma_{T}^2(x)\leq L_{T}(1+x^2)\), \(\sigma_{T}(x)\geq \delta_{T,N}>0\) for \(|x|\leq N\), \(N>0\), \(w_{T}(t)\) is a family of the Wiener processes, \(\xi_{T}(0)\) is a fixed random variable that does not depend on \(w_{T}(t).\) The main peculiarity of the equation under investigation is non-regular dependence of coefficients \(a_{T}(x)\), \(\sigma_{T}(x)\) on the parameter \(T\) as \(T\to\infty\), \(a_{T}(x)\), \(\sigma_{T}(x)\) are not assumed to be uniformly bounded with respect to parameter on the bounded domain of \(x.\) The authors study the limit behavior of solutions of equation (1) as \(T\to\infty\) for the class \(K_2\) of equations such that for every \(x\) the inequality \[ \int_0^{x}f_T'(u)\int_0^{u} {dv\over f_T'(v)\sigma_{T}^2(v)} du\leq L(1+|x|^{m}) \] holds uniformly by \(T\) and \[ f_{T}(x)=c_{T}^{(1)}\int_0^{x}\exp\Biggl\{ -2\int_0^{u} {a_{T}(v)\over \sigma_{T}^2(v)} dv\Biggr\} du+ c_{T}^{(2)}, \] where \(c_{T}^{(1)}\), \(c_{T}^{(2)}\) are some constants. The following statement is the main result of this paper: Let \(\xi_{T}(t)\) be a solution to (1) and let \(G_{T}(x)\) be a family of continuous functions with locally integrable generalized derivatives up to order 2. If there exists a constant \(L\) such that for every \(T\), \(x\) \[ [G_T'(x)a_{T}(x)+ \tfrac 12 G_T(x)\sigma_{T}^2(x)]^2+ [G_T'(x)\sigma_{T}(x)]^2\leq L(1+|G_{T}(x)|^2), \quad E[G_{T}(\xi_{T}(0)) ]^4\leq L, \] then the family of the processes \(\zeta_{T}(t)= G_{T}(\xi_{T}(t))\) is weakly compact.

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