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Teoriya Veroyatnostei i ee Primeneniya, 1967, Volume 12, Issue 3, Pages 548–551
(Mi tvp737)
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This article is cited in 15 scientific papers (total in 15 papers)
Short Communications
On the limit behaviour of the solution of a stochastic diffusion equation
G. L. Kulinich Kiev
Abstract:
The probability density of the limit distribution of the process $f(\xi(tT))/\sqrt T$ as $T\to\infty$ is found where
$$
f(x)=\int_0^x\exp\biggl\{-2\int_{-\infty}^y\biggl[\frac{a(u)}{\sigma^2(u)}-\frac12\frac{\sigma'(u)}{\sigma(u)}\biggr]\,du\biggr\}\frac{dy}{\sigma(y)},
$$
and $\xi(t)$ is the solution of stochastic diffusion equation (1).
Received: 14.06.1966
Citation:
G. L. Kulinich, “On the limit behaviour of the solution of a stochastic diffusion equation”, Teor. Veroyatnost. i Primenen., 12:3 (1967), 548–551; Theory Probab. Appl., 12:3 (1967), 497–499
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