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Limit of Solutions of a SDE with a Large Drift Driven by a Poisson Random Measure

Author

Listed:
  • Nhansook Cho

    (Hansung University)

  • Youngmee Kwon

    (Hansung University)

Abstract

We consider a sequence of {X n} of R d-valued processes satisfying a stochastic differential equation driven by a Brownian motion and a compensated Poisson random measure, with ε n ~ν n with a large drift. Let Γ be a m-dimensional submanifold (m

Suggested Citation

  • Nhansook Cho & Youngmee Kwon, 2000. "Limit of Solutions of a SDE with a Large Drift Driven by a Poisson Random Measure," Journal of Theoretical Probability, Springer, vol. 13(2), pages 311-325, April.
    • Handle: RePEc:spr:jotpro:v:13:y:2000:i:2:d:10.1023_a:1007853810143
    DOI: 10.1023/A:1007853810143
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    References listed on IDEAS

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    1. Cho, Nhansook, 1995. "Weak convergence of stochastic integrals driven by martingale measure," Stochastic Processes and their Applications, Elsevier, vol. 59(1), pages 55-79, September.
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