The central limit theorem for stochastic integrals.
Antonio Sintes Blanc (1985)
Collectanea Mathematica
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Antonio Sintes Blanc (1985)
Collectanea Mathematica
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K. Urbanik (1958)
Studia Mathematica
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Friedrich Liese (1992)
Kybernetika
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Martin T. Barlow, Peter Imkeller (1992)
Séminaire de probabilités de Strasbourg
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Jean Bertoin (2008)
Journal of the European Mathematical Society
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It was shown in [2] that a Langevin process can be reflected at an energy absorbing boundary. Here, we establish that the law of this reflecting process can be characterized as the unique weak solution to a certain second order stochastic differential equation with constraints, which is in sharp contrast with a deterministic analog.
Dorogovtsev, Andrej A. (1995)
Journal of Applied Mathematics and Stochastic Analysis
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Michał Kisielewicz (2006)
Discussiones Mathematicae Probability and Statistics
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Some sufficient conditins for tightness of continuous stochastic processes is given. It is verified that in the classical tightness sufficient conditions for continuous stochastic processes it is possible to take a continuous nondecreasing stochastic process instead of a deterministic function one.
Z. Ivković, J. Vukmirović (1976)
Matematički Vesnik
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Swift, Randall J. (2000)
Portugaliae Mathematica
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Nadzeya V. Bedziuk, Aleh L. Yablonski (2010)
Banach Center Publications
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We consider an ordinary or stochastic nonlinear equation with generalized coefficients as an equation in differentials in the algebra of new generalized functions in the sense of [8]. Consequently, the solution of such an equation is a new generalized function. We formulate conditions under which the solution of a given equation in the algebra of new generalized functions is associated with an ordinary function or process. Moreover the class of all possible associated functions and processes...
A. Plucińska (1971)
Applicationes Mathematicae
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