Journal of Applied Mathematics and Stochastic Analysis
Volume 7 (1994), Issue 1, Pages 25-31
doi:10.1155/S1048953394000031
Abstract
Using connection between stochastic differential equation with
Poisson measure term and its Kolmogorov's equation, we investigate the
limiting behavior of the Cauchy problem solution of the integro
differential equation with coefficients depending on a small parameter.
We also study the dependence of the limiting equation on the order of
the parameter.