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On diffusion approximation with discontinuous coefficients · Study

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ArticleOn diffusion approximation with discontinuous coefficients

Nicolai V. Krylov2002

OA

Articlebronze2002

On diffusion approximation with discontinuous coefficients

Nicolai V. Krylov · R. Liptser

23 citations·0/0 files stored·Stochastic Processes and their Applications

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Advanced Queuing Theory Analysis Stochastic processes and financial applications Stochastic processes and statistical mechanics

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References

1983Stochastic Differential Equations and Diffusion Processes 1990Numerical Methods for Stochastic Control Problems in Continuous Time 1987Limit Theorems for Stochastic Processes 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES 2001Numerical Methods for Stochastic Control Problems in Continuous Time 1990Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems 1969On Itô’s Stochastic Integral Equations 1987Nearly Optimal State Feedback Controls for Stochastic Systems with Wideband Noise Disturbances

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Year2002

Typearticle

Published2002-10-18

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations23

Files0 public / 0

ShelfAdvanced Queuing Theory Analysis

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doi10.1016/s0304-4149(02)00181-3

openalex_workW2137147384

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