We establish a law of large numbers and a central limit theorem for a class of additive functionals related to the solution of a one-dimensional stochastic differential equation perturbed by a large noise.
Publié le : 2005-04-14
Classification:
additive functional,
central limit theorem,
large noise,
law of large numbers,
stochastic differential equations
@article{1116340293,
author = {Peszat, Szymon and Russo, Francesco},
title = {Large-noise asymptotics for one-dimensional diffusions},
journal = {Bernoulli},
volume = {11},
number = {1},
year = {2005},
pages = { 247-262},
language = {en},
url = {http://dml.mathdoc.fr/item/1116340293}
}
Peszat, Szymon; Russo, Francesco. Large-noise asymptotics for one-dimensional diffusions. Bernoulli, Tome 11 (2005) no. 1, pp. 247-262. http://gdmltest.u-ga.fr/item/1116340293/