A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems

For a sequence of stochastic differential equations of type Xn(t)=Xn(0)+[small esh]t0aN(S, XN(S-)) dAn(S)+[small esh]t0[small esh]R\{0}cn(S,Xn(S-))dn(S,Xn(S-),x)Ñn(ds dx)+Bn(t), a stability theorem is presented under an appropriate convergence mode of coefficients an, cn, dn, driving processes An, Bn and martingale measures Ñn. Applications to limit theorems for storage processes, random walks and optimal control problems are shown.

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Year of publication:	1986
Authors:	Yamada, Keigo
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 23.1986, 2, p. 199-220
Publisher:	Elsevier
Keywords:	stochastic differential equations * weak convergence * applications * storage processes * random walks * optimal control problems

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

Persistent link: https://www.econbiz.de/10008874886