Stochastic Newton equation in strong potential limit

Song Liang

Stochastic Processes and their Applications, 2016, vol. 126, issue 10, 2913-2955

Abstract: We consider a type of stochastic Newton equations, with single-well potential functions, and study the limiting behaviors of their solution processes when the coefficients of the potentials diverge to infinity. We prove that for dimension 1, the stochastic solution processes converge. The explicit descriptions of the limiting processes are also given. Especially, the limiting processes are deterministic for special initial conditions.

Keywords: Stochastic Newton equation; Diffusion; Potential; Convergence (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:126:y:2016:i:10:p:2913-2955

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DOI: 10.1016/j.spa.2016.03.007

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