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 (Q1327336)
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scientific article; zbMATH DE number 590305
| Language | Label | Description | Also known as |
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| 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 |
scientific article; zbMATH DE number 590305 |
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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 (English)
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29 August 1994
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Summary: Using 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 integro-differential 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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stochastic differential equation
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Poisson measure
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Kolmogorov's equation
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Cauchy problem solution
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integro-differential equation
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