English

On Asymptotic Behavior of Stochastic Differential Equation Solutions in Multidimensional Space

Probability 2023-06-06 v1

Abstract

Consider the multidimensional SDE dX(t)=a(X(t))dt+b(X(t))dW(t).\mathrm d X(t) = a(X(t))\mathrm d t + b(X(t))\mathrm d W(t). We study the asymptotic behavior of its solution X(t)X(t) as tt \to \infty, namely, we study sufficient conditions of transience of its solution X(t)X(t), stabilization of its multidimensional angle X(t)/X(t)X(t)/|X(t)|, and asymptotic equivalence of solutions of the given SDE and the following ODE without noise: dx(t)=a(x(t))dt.\mathrm d x(t) = a(x(t))\mathrm d t.

Keywords

Cite

@article{arxiv.2306.02089,
  title  = {On Asymptotic Behavior of Stochastic Differential Equation Solutions in Multidimensional Space},
  author = {Viktor Yuskovych},
  journal= {arXiv preprint arXiv:2306.02089},
  year   = {2023}
}