Large-noise asymptotics for one-dimensional diffusions

Szymon Peszat; Francesco Russo

doi:10.3150/bj/1116340293

Large-noise asymptotics for one-dimensional diffusions

Szymon Peszat
, Francesco Russo

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	247-262
Number of pages	16
Journal	Bernoulli
Volume	11
Issue number	2
DOIs	https://doi.org/10.3150/bj/1116340293
Publication status	Published - 1 Apr 2005
Externally published	Yes

Keywords

Additive functional
Central limit theorem
Large-noise
Law of large numbers
Stochastic differential equations

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abstract = "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.",

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AU - Russo, Francesco

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KW - Additive functional

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KW - Large-noise

KW - Law of large numbers

KW - Stochastic differential equations

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JO - Bernoulli

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Large-noise asymptotics for one-dimensional diffusions

Abstract

Keywords

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