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arXiv · 1609.01185

A limit theorem for singular stochastic differential equations

Andrey Pilipenko·Yuriy Prykhodko
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Abstract

We study the weak limits of solutions to SDEs \[dX_n(t)=a_n\bigl(X_n(t)\bigr)\,dt+dW(t),\] where the sequence $\{a_n\}$ converges in some sense to $(c_- 1\mkern-4.5mu\mathrm{l}_{x<0}+c_+ 1\mkern-4.5mu\mathrm{l}_{x>0})/x+\gamma\delta_0$. Here $\delta_0$ is the Dirac delta function concentrated at zero. A limit of $\{X_n\}$ may be a Bessel process, a skew Bessel process, or a mixture of Bessel processes.

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Andrey Pilipenko, Yuriy Prykhodko. 2016-09-05. A limit theorem for singular stochastic differential equations. https://doi.org/10.15559/16-vmsta63

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