Averaging principle for diffusion processes via Dirichlet forms

被引:0
|
作者
Florent Barret
Max von Renesse
机构
[1] Max Planck Institut für Mathematik in den Naturwissenschaften,Universität Leipzig
[2] Fakultät für Mathematik und Informatik,undefined
来源
Potential Analysis | 2014年 / 41卷
关键词
Averaging principle; stochastic diffusion processes; Dirichlet forms; Mosco-convergence.; 60J45; 34C29; 70K70;
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学科分类号
摘要
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.
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页码:1033 / 1063
页数:30
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