Large-noise asymptotics for one-dimensional diffusions

Szymon Peszat; Francesco Russo

doi:10.3150/bj/1116340293

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Home > Journals > Bernoulli > Volume 11 > Issue 2 > Article

April 2005 Large-noise asymptotics for one-dimensional diffusions

Szymon Peszat, Francesco Russo

Author Affiliations +

Szymon Peszat,¹ Francesco Russo²
¹Institute of Mathematics, Polish Academy of Sciences
²Université Paris 13, Institut Galilée

Bernoulli 11(2): 247-262 (April 2005). DOI: 10.3150/bj/1116340293

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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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Szymon Peszat. Francesco Russo. "Large-noise asymptotics for one-dimensional diffusions." Bernoulli 11 (2) 247 - 262, April 2005. https://doi.org/10.3150/bj/1116340293