On weak convergence of stochastic differential equations with irregular coefficients

Author:

Krykun Ivan1

Affiliation:

1. Institute of Applied Mathematics and Mechanics of NAS of Ukraine, Sloviansk, Ukraine

Abstract

One-dimensional Ito stochastic differential equations and stochastic differential equations with local time that depend on a small parameter and have irregular coefficients (for example, the unlimited drift coefficient or the non-Lipschitz diffusion coefficient) have been considered. The available results concerning the conditions for a mutually univocal correspondence between stochastic Ito equations and stochastic equations with local time were generalized. The weak convergence of the solutions of those equations at $\varepsilon \to 0$ were analyzed. The form of the coefficients for the limiting process was obtained. The necessary and sufficient conditions for the weak convergence of the solutions of those equations to the limit random process were proved.

Publisher

Institute of Applied Mathematics and Mechanics of the National Academy of Sciences of Ukraine

Subject

Ocean Engineering

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