A limit theorem for singular stochastic differential equations

DOI10.15559/16-VMSTA63zbMath1352.60051arXiv1609.01185MaRDI QIDQ343047

Yuriy Prykhodko, Andrey Yu. Pilipenko

Publication date: 21 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.01185

zbMATH Keywords

Bessel processlimit theoremssingular stochastic differential equationsskew Bessel process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17)

Cites Work

• On the limit behavior of a sequence of Markov processes perturbed in a neighborhood of the singular point
• On symmetric and skew Bessel processes
• On the constructions of the skew Brownian motion
• Comparison results for reflected jump-diffusions in the orthant with variable reflection directions and stability applications
• On skew Brownian motion
• Proceedings of the 3rd Japan - USSR symposium on probability theory
• Asymptotic behavior of integral functionals of unstable solutions of one-dimensional Itô stochastic differential equations
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
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