ENGLISH

The probabilistic approach to the analysis of the limiting behavior of an integro-differential equation depending on a small parameter, and its application to stochastic processes

By Borisenko O.V. , Borisenko A.D. , Malyshev I.G.

Book information

Language
english
Format
PDF
Filesize
2 MB (2340291 bytes)
Pages
\8
Library
twirpx
Time added
2017-08-07 07:01:42
Математика;Теория вероятностей и математическая ст

Description

Journal of Applied Mathematics and Stochastic Analysis 7, Number 1, Spring 1994, 25-31Using connection between stochastic differential equation with Poisson measure term and its Kolmogorov’s equation, we investigate the limiting behavior of the Cauchy problem solution of the integrodifferential equation with coefficients depending on a small parameter. We also study the dependence of the limiting equation on the order of the parameter.

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