AVERAGING AND WEAK CONVERGENCE METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS OF THE MCKEAN TYPE
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概要
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"By the averaging method the weak convergence of a parameterized sequence of processes to a limit process is considered for a multi-dimensional SDE of the McKean type having the drift and diffusion coefficients with a polynomial growth condition in the phase variable. A two-dimensional SDE with mean-field containing a small parameter ＄￥epsilon>0＄ is taken as an application, which is a random perturbation of a dynamical system having an equilibrium point ＄(0,0)＄ of the plane as a center. A limit process on time scales of order ＄ 1/￥epsilon＄ is derived and identified for such an equation under the assumption on the existence of a suitable Lyapunov function."
- Yokohama City Universityの論文
- 1990-00-00
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