THE LIMIT STOCHASTIC EQUATION CHANGES TYPE

SERGEY YA. MAKHNO

Theory of Stochastic Processes Vol. 11 (27), no. 3–4, 2005, pp. 104–109

We study the weak convergence of solutions of the Itˆo stochastic equation, whose coefficients depend on a small parameter. Conditions under which the limit process changes the type and will be a solution of the stochastic equation with a local time are obtained.

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