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Almost Sure Asymptotic Properties of Solutions of a Class of Non-homogeneous Stochastic Differential Equations

  • Oleg I. KlesovEmail author
  • Olena A. Tymoshenko
Chapter
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Abstract

We study non-homogeneous stochastic differential equation with separation of stochastic and deterministic variables. We express the asymptotic behavior of solutions of such equations in terms of that for the corresponding ordinary differential equation. The general results are discussed for some particular equations, mainly in the field of mathematics of finance.

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Notes

Acknowledgements

Supported by the grants from Ministry of Education and Science of Ukraine (projects N 2105 ϕ and M/68-2018).

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Authors and Affiliations

  1. 1.National Technical University of Ukraine “Igor Sikorsky Kyiv Polytechnic Institute”Department of Mathematical Analysis and Probability TheoryKyivUkraine

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