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Averaging principle for diffusion processes via Dirichlet forms

Authors :
Florent Barret
Max-K. von Renesse
Max Planck Institute for Mathematics in the Sciences (MPI-MiS)
Max-Planck-Gesellschaft
Fakultät für Mathematik und Informatik
Universität Leipzig [Leipzig]
Modélisation aléatoire de Paris X (MODAL'X)
Université Paris Nanterre (UPN)
Source :
Potential Analysis, Potential Analysis, 2014, 41 (4), Potential Analysis, Springer Verlag, 2014, 41 (4)
Publication Year :
2014
Publisher :
HAL CCSD, 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.<br />Comment: 31 pages

Details

Language :
English
ISSN :
09262601 and 1572929X
Database :
OpenAIRE
Journal :
Potential Analysis, Potential Analysis, 2014, 41 (4), Potential Analysis, Springer Verlag, 2014, 41 (4)
Accession number :
edsair.doi.dedup.....27dd042e5950077905cac327f1ca84fc