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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	247-262
Nombre de pages	16
journal	Bernoulli
Volume	11
Numéro de publication	2
Les DOIs	https://doi.org/10.3150/bj/1116340293
état	Publié - 1 avr. 2005
Modification externe	Oui

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10.3150/bj/1116340293

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title = "Large-noise asymptotics for one-dimensional diffusions",

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.",

keywords = "Additive functional, Central limit theorem, Large-noise, Law of large numbers, Stochastic differential equations",

author = "Szymon Peszat and Francesco Russo",

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AU - Russo, Francesco

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N2 - 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.

AB - 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.

KW - Additive functional

KW - Central limit theorem

KW - Large-noise

KW - Law of large numbers

KW - Stochastic differential equations

UR - https://www.scopus.com/pages/publications/33845613463

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DO - 10.3150/bj/1116340293

M3 - Article

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SN - 1350-7265

VL - 11

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EP - 262

JO - Bernoulli

JF - Bernoulli

IS - 2

ER -

Large-noise asymptotics for one-dimensional diffusions

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