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The probabilistic approach to the analysis of the limiting behavior of an integro-differential equation depending on a small parameter, and its application to stochastic processes

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Journal of Applied Mathematics and Stochastic Analysis
7, Number 1, Spring 1994, 25-31
Using connection between stochastic differential equation with Poisson measure term and its Kolmogorov’s equation, we investigate the limiting behavior of the Cauchy problem solution of the integrodifferential equation with coefficients depending on a small parameter.
We also study the dependence of the limiting equation on the order of the parameter.

Author(s): Borisenko O.V., Borisenko A.D., Malyshev I.G.

Language: English
Commentary: 1605617
Tags: Математика;Теория вероятностей и математическая статистика