Abstract
We study the rate of convergence of the processξ(tT)/√T to the processw(t)/σ asT → ∞, whereξ(t) is a solution of the stochastic differential equationdξ(t)=a(ξ(t))dt+σ(ξ(t))dw(t)
References
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G. L. Kulinich, “On the asymptotic behavior of the distributions of functionals of the form∫ t0 g(ξ,(s))ds for diffusion processes,”Teor. Ver. Mat. Statist., Issue 8, 99–105 (1973).
G. L. Kulinich, “Limit distributions of integral-type functionals of unstable diffusion processes,”Teor. Ver. Mat. Statist., Issue 11, 81–85 (1974).
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Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 46, No. 10, pp. 1424–1427, October, 1994.
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Mynbaeva, G.U. On the rate of convergence of an unstable solution of a stochastic differential equation. Ukr Math J 46, 1573–1577 (1994). https://doi.org/10.1007/BF01066105
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DOI: https://doi.org/10.1007/BF01066105