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Averaging principle for diffusion processes via Dirichlet forms
- 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
- Subjects :
- Dirichlet forms
60J45
34C29
70K70
Mosco-convergence
Dirichlet form
Mathematical analysis
Probability (math.PR)
stochastic diffusion processes
Dirichlet's energy
Conserved quantity
Dirichlet distribution
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
Dirichlet kernel
symbols.namesake
Averaging principle
Dirichlet's principle
symbols
Dissipative system
FOS: Mathematics
Mathematics - Probability
Analysis
Brownian motion
Mathematics
Subjects
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