Zero noise limit of a stochastic differential equation involving a local time

Kazumasa Kuwada, Taro Matsumura

研究成果: Article査読

抄録

This paper studies the zero noise limit for the solution of a class of one-dimensional stochastic differential equations involving local time with irregular drift. These solutions are expected to approach one of the solutions to the ordinary differential equation formally obtained by cutting off the noise term. By determining the limit, we reveal that the presence of the local time really affects the asymptotic behavior, while it is observed only when intensity of the drift term is close to symmetric around the irregular point. Related with this problem, we also establish the Wentzel-Freidlin type large deviation principle.

本文言語English
ページ(範囲)777-794
ページ数18
ジャーナルOsaka Journal of Mathematics
55
4
出版ステータスPublished - 2018 10月 1

ASJC Scopus subject areas

  • 数学 (全般)

フィンガープリント

「Zero noise limit of a stochastic differential equation involving a local time」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル