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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2018, том 23(39), выпуск 2, страницы 80–91 (Mi thsp296)

Convergence of solutions of SDEs to Harris flows

M. B. Vovchanskii

Department of Theory of Random Processes, Institute of Mathematics, National Academy of Sciences of Ukraine, Tereshchenkivska Str. 3, Kiev 01601, Ukraine

Аннотация: A method of the approximation of a coalescing Harris flow with homeomorphic stochastic flows built as solutions to SDEs w.r.t. continuous martingales with spatial parameters in the sense of Kunita is proposed. The joint convergence of forward and backward flows as diffusions is obtained, as well as the joint convergence of forward and backward transformations of the real axe under the action of the flows.

Ключевые слова: Harris flow, Stochastic Flow, Stochastic Differential Equations, Martingale Problem, Random Measure.

MSC: Primary 60H10, 60G44, 60G60; Secondary 60G57

Язык публикации: английский



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