The small deviations of many-dimensional diffusion processes and rarefaction by boundaries

2007/04/03 by Vitalii A. Gasanenko, Gasanenko, Vitalii A.
Mathematics · #60J65 #Analysis of PDEs (math.AP) #FOS: Mathematics #Probability (math.PR) #math.AP #math.PR #msc:60J65

paper · pdf · doi:10.48550/arxiv.0704.0315

10 pages

arxiv created 2007/04/03 · arxiv updated 2009/12/01

Abstract

We lead the algorithm of expansion of sojourn probability of many-dimensional diffusion processes in small domain. The principal member of this expansion defines normalizing coefficient for special limit theorems.

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