Théorèmes limite pour les systèmes linéaires a coefficient markoviens. (Limit theorems for linear systems with Markovian coefficients)
type: Item
instance of: scholarly article
title: Théorèmes limite pour les systèmes linéaires a coefficient markoviens. (Limit theorems for linear systems with Markovian coefficients)
zbMATH Open document ID: 0627.60054
DOI: 10.1007/BF00322018
author: Philippe Bougerol
publication date: 1988-01-01T00:00:00Z
review text: We show a central limit theorem and a law of large deviations for the solutions of linear stochastic differential equations with Markovian coefficients under weak hypothesis. These results are obtained in the general set up of Markov multiplicative processes. They can thus be applied, for instance, to the derivative of a stochastic flow on a compact manifold and to the product of random matrices with Markovian dependence.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 60B15
zbMATH DE Number: 4020122
zbMATH Keywords: central limit theorem
zbMATH Keywords: large deviations for solutions of linear stochastic differential equations
zbMATH Keywords: stochastic flows
zbMATH Keywords: product of random matrices
MaRDI profile type: Publication
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published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
description: scientific article; zbMATH DE number 4020122