2019
Том 71
№ 11

All Issues

Mynbaeva G. U.

Articles: 1
Brief Communications (Russian)

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

Mynbaeva G. U.

↓ Abstract   |   Full text (.pdf)

Ukr. Mat. Zh. - 1994. - 46, № 10. - pp. 1424–1427

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 $ξ(t) = a(ξ(t))dt + σ(ξ(t))dw(t)$.