Averaging principle for diffusion processes via Dirichlet forms
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...
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Main Authors | , |
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Format | Journal Article |
Language | English |
Published |
16.07.2013
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Subjects | |
Online Access | Get full text |
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Summary: | 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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DOI: | 10.48550/arxiv.1307.4248 |