Nonlinear trend exclusion procedure for models defined by stochastic differential and difference equations

Nonlinear trend exclusion procedure for models defined by stochastic differential and difference... We consider a diffusion process and its approximation with a Markov chain whose trends contain a nonlinear unbounded component. The usual parametrix method is inapplicable here since the trend is unbounded. We present a procedure that lets us exclude a nonlinear growing trend and pass to a stochastic differential equation with bounded drift and diffusion coefficients. A similar procedure is also considered for a Markov chain. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Automation and Remote Control Springer Journals

Nonlinear trend exclusion procedure for models defined by stochastic differential and difference equations

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Publisher
Pleiades Publishing
Copyright
Copyright © 2017 by Pleiades Publishing, Ltd.
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Control, Robotics, Mechatronics; Mechanical Engineering; Computer-Aided Engineering (CAD, CAE) and Design
ISSN
0005-1179
eISSN
1608-3032
D.O.I.
10.1134/S0005117917080057
Publisher site
See Article on Publisher Site

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