The Peano phenomenon for Itô equations
Tóm tắt
The weak convergence of the measures generated by the solutions of stochastic Itô equations with low diffusion is studied, as the diffusion tends to zero. It is proved that the limiting measure in the presence of the Peano phenomenon for a relevant ordinary differential equation is concentrated on its extreme solutions with definite weights. The formulas for their calculation are given.
Tài liệu tham khảo
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