2019
Том 71
№ 11

On the rate of convergence of an unstable solution of a stochastic differential equation

Mynbaeva G. U.

Abstract

We study the rate of convergence of the process $ξ(tT)/\sqrt{T}$ to the process $w(t)/σ$ as $T → ∞$, where $ξ(t)$ is a solution of the stochastic differential equationd $ξ(t) = a(ξ(t))dt + σ(ξ(t))dw(t)$.

English version (Springer): Ukrainian Mathematical Journal 46 (1994), no. 10, pp 1573-1577.

Citation Example: Mynbaeva G. U. On the rate of convergence of an unstable solution of a stochastic differential equation // Ukr. Mat. Zh. - 1994. - 46, № 10. - pp. 1424–1427.

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