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Averaging principle for diffusion processes via Dirichlet forms.
Averaging principle for diffusion processes via Dirichlet forms.
- Source :
- Potential Analysis; Nov2014, Vol. 41 Issue 4, p1033-1063, 31p
- Publication Year :
- 2014
-
Abstract
- We study diffusion processes driven by a Brownian motion with regular drift in a finite dimension setting. The drift has two components on different time scales, a fast conservative component and a slow dissipative component. Using the theory of Dirichlet form and Mosco-convergence we obtain simpler proofs, interpretations and new results of the averaging principle for such processes when we speed up the conservative component. As a result, one obtains an effective process with values in the space of connected level sets of the conserved quantities. The use of Dirichlet forms provides a simple and nice way to characterize this process and its properties. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 09262601
- Volume :
- 41
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Potential Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 98922936
- Full Text :
- https://doi.org/10.1007/s11118-014-9405-x