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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1967 Volume 12, Issue 3, Pages 548–551 (Mi tvp737)

This article is cited in 15 papers

Short Communications

On the limit behaviour of the solution of a stochastic diffusion equation

G. L. Kulinich

Kiev

Abstract: The probability density of the limit distribution of the process $f(\xi(tT))/\sqrt T$ as $T\to\infty$ is found where
$$ f(x)=\int_0^x\exp\biggl\{-2\int_{-\infty}^y\biggl[\frac{a(u)}{\sigma^2(u)}-\frac12\frac{\sigma'(u)}{\sigma(u)}\biggr]\,du\biggr\}\frac{dy}{\sigma(y)}, $$
and $\xi(t)$ is the solution of stochastic diffusion equation (1).

Received: 14.06.1966


 English version:
Theory of Probability and its Applications, 1967, 12:3, 497–499

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