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arXiv · 1310.2629

Recurrent Solutions of Stochastic Differential Equations with Non-constant Diffusion Coefficients which obey the Law of the Iterated Logarithm

John A. D. Appleby·Huizhong Appleby-Wu
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Abstract

By using a change of scale and space, we study a class of stochastic differential equations (SDEs) whose solutions are drift--perturbed and exhibit behaviour analogous to standard Brownian motion including to the Law of the Iterated Logarithm (LIL). Sufficient conditions ensuring that these processes obey the LIL are given.

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John A. D. Appleby, Huizhong Appleby-Wu. 2013-10-09. Recurrent Solutions of Stochastic Differential Equations with Non-constant Diffusion Coefficients which obey the Law of the Iterated Logarithm. https://arxiv.org/abs/1310.2629

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