The probabilistic approach to the analysis of the limiting behavior of an integro-diffebential equation depending on a small parameter, and its application to stochastic processes. (1994)

• Record Type: Journal Article
• Authors: Borisenko, O. V.; Borisenko, A. D.; Malyshev, I. G.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 7:Number 1(1994)
• Page Start: 25
• Page End: 31
• Publication Date: 1994
• Subjects: stochastic process -- Kolmogorov's averaging -- integro-differential equation -- Cauchy problem -- limiting behavior -- small parameters -- white and Poisson noise; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953394000031
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : 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 integro differential equation with coefficients depending on a small parameter. We also study the dependence of the limiting equation on the order of the parameter.