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

Authors

  • G. U. Mynbaeva

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).

Published

25.10.1994

Issue

Section

Short communications

How to Cite

Mynbaeva, G. U. “On the Rate of Convergence of an Unstable Solution of a Stochastic Differential Equation”. Ukrains’kyi Matematychnyi Zhurnal, vol. 46, no. 10, Oct. 1994, pp. 1424–1427, https://umj.imath.kiev.ua/index.php/umj/article/view/5626.