Asymptotic behavior of homogeneous additive functionals of the solutions of Itô stochastic differential equations with nonregular dependence on parameter

Grigorij Kulinich, Svitlana Kushnirenko, Yuliia Mishura

Published 2016-07-13Version 1

We study the asymptotic behavior of mixed functionals of the form $I_T(t)=F_T(\xi_T(t))+\int_0^tg_T(\xi_T(s))\,d\xi_T(s)$, $t\ge0$, as $T\to\infty$. Here $\xi_T(t)$ is a strong solution of the stochastic differential equation $d\xi_T(t)=a_T(\xi_T(t))\,dt+dW_T(t)$, $T>0$ is a parameter, $a_T=a_T(x)$ are measurable functions such that $\left|a_T(x)\right|\leq C_T$ for all $x\in \mathbb {R}$, $W_T(t)$ are standard Wiener processes, $F_T=F_T(x)$, $x\in \mathbb {R}$, are continuous functions, $g_T=g_T(x)$, $x\in \mathbb {R}$, are locally bounded functions, and everything is real-valued. The explicit form of the limiting processes for $I_T(t)$ is established under very nonregular dependence of $g_T$ and $a_T$ on the parameter $T$.