The Picard boundary value problem for a third order stochastic difference equation
Marco Ferrante (1996)
Rendiconti del Seminario Matematico della Università di Padova
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Displaying similar documents to “Triangular stochastic differential equations with boundary conditions”
The Picard boundary value problem for a third order stochastic difference equation
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Existence, uniqueness and ergodicity of weak solutions to the equation of stochastic quantization in finite volume is obtained as a simple consequence of the Girsanov theorem.
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Annales Polonici Mathematici
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A generalization of the Poisson driven stochastic differential equation is considered. A sufficient condition for asymptotic stability of a discrete time-nonhomogeneous Markov process is proved.
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Jan Malczak (1992)
Rendiconti del Seminario Matematico della Università di Padova
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Bounds on regeneration times and limit theorems for subgeometric Markov chains
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Annales de l'I.H.P. Probabilités et statistiques
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This paper studies limit theorems for Markov chains with general state space under conditions which imply subgeometric ergodicity. We obtain a central limit theorem and moderate deviation principles for additive not necessarily bounded functional of the Markov chains under drift and minorization conditions which are weaker than the Foster–Lyapunov conditions. The regeneration-split chain method and a precise control of the modulated moment of the hitting time to small sets are employed...
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Łukasz Stettner (1993)
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Optimal control with long run average cost functional of a partially observed Markov process is considered. Under the assumption that the transition probabilities are equivalent, the existence of the solution to the Bellman equation is shown, with the use of which optimal strategies are constructed.
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K. Urbanik (1958)
Colloquium Mathematicum
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