Nonlinear self-stabilizing processes - I Existence, invariant probability, propagation of chaos

S. Benachour, B. Roynette, D. Talay and P. Vallois

Stochastic Processes and their Applications, 1998, vol. 75, issue 2, 173-201

Abstract: Taking an odd, non-decreasing function [beta], we consider the (nonlinear) stochastic differential equation and we prove the existence and uniqueness of solution of Eq. E , where and (Bt; t[greater-or-equal, slanted]0) is a one-dimensional Brownian motion, B0=0. We show that Eq. E admits a stationary probability measure and investigate the link between Eq. E and the associated system of particles.

Date: 1998
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Citations: View citations in EconPapers (10)

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