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Averaging principle for diffusion processes via Dirichlet forms.

Averaging principle for diffusion processes via Dirichlet forms.

Authors :
Barret, Florent
von Renesse, Max
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