Asymptotic behavior of functionals of the solutions to inhomogeneous Itô stochastic differential equations with nonregular dependence on parameter
The asymptotic behavior, as $T\to \infty $, of some functionals of the form $I_{T}(t)=F_{T}(\xi _{T}(t))+{\int _{0}^{t}}g_{T}(\xi _{T}(s))\hspace{0.1667em}dW_{T}(s)$, $t\ge 0$ is studied. Here $\xi _{T}(t)$ is the solution to the time-inhomogeneous Itô stochastic differential equation \[d\xi _{T}(t)...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
VTeX
2017-09-01
|
| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/17-VMSTA83 |