A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems

Keigo Yamada

Stochastic Processes and their Applications, 1986, vol. 23, issue 2, 199-220

Abstract: For a sequence of stochastic differential equations of type Xn(t)=Xn(0)+[small esh]t0aN(S, XN(S-)) dAn(S)+[small esh]t0[small esh]R\{0}cn(S,Xn(S-))dn(S,Xn(S-),x)Ñn(ds dx)+Bn(t), a stability theorem is presented under an appropriate convergence mode of coefficients an, cn, dn, driving processes An, Bn and martingale measures Ñn. Applications to limit theorems for storage processes, random walks and optimal control problems are shown.

Keywords: stochastic; differential; equations; *; weak; convergence; *; applications; *; storage; processes; *; random; walks; *; optimal; control; problems (search for similar items in EconPapers)
Date: 1986
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