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Avtomatika i Telemekhanika, 2017, Issue 8, Pages 100–112 (Mi at14541)  
This article is cited in 1 scientific paper (total in 1 paper)

Stochastic Systems

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

V. D. Konakov, A. R. Markova

National Research University Higher School of Economics, Moscow, Russia
Full-text PDF (653 kB) Citations (1)
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Abstract: 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.
Keywords: stochastic differential equation, diffusion process, Markov chains, parametrix method.
Funding agency Grant number
Ministry of Education and Science of the Russian Federation
The study has been funded by the Russian Academic Excellence Project “5–100”.
Presented by the member of Editorial Board: A. V. Nazin

Received: 19.09.2016
English version:
Automation and Remote Control, 2017, Volume 78, Issue 8, Pages 1438–1448
DOI: https://doi.org/10.1134/S0005117917080057
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. D. Konakov, A. R. Markova, “Nonlinear trend exclusion procedure for models defined by stochastic differential and difference equations”, Avtomat. i Telemekh., 2017, no. 8, 100–112; Autom. Remote Control, 78:8 (2017), 1438–1448
Citation in format AMSBIB
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\paper Nonlinear trend exclusion procedure for models defined by stochastic differential and difference equations
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\issue 8
\pages 100--112
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\jour Autom. Remote Control
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\vol 78
\issue 8
\pages 1438--1448
\crossref{https://doi.org/10.1134/S0005117917080057}
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  • https://www.mathnet.ru/eng/at14541
  • https://www.mathnet.ru/eng/at/y2017/i8/p100
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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