Nonlinear self-stabilizing processes - I Existence, invariant probability, propagation of chaos

Taking an odd, non-decreasing function [beta], we consider the (nonlinear) stochastic differential equation and we prove the existence and uniqueness of solution of Eq. E , where and (Bt; t[greater-or-equal, slanted]0) is a one-dimensional Brownian motion, B0=0. We show that Eq. E admits a stationary probability measure and investigate the link between Eq. E and the associated system of particles.

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Year of publication:	1998
Authors:	Benachour, S. ; Roynette, B. ; Talay, D. ; Vallois, P.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 75.1998, 2, p. 173-201
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874221