Central Limit Theorem for Diffusion Processes in an Anisotropic Random Environment

• Autorzy: Ernest Nieznaj
• Języki publikacji: EN

Abstrakty

EN

We prove the central limit theorem for symmetric diffusion processes with non-zero drift in a random environment. The case of zero drift has been investigated in e.g. [18], [7]. In addition we show that the covariance matrix of the limiting Gaussian random vector corresponding to the diffusion with drift converges, as the drift vanishes, to the covariance of the homogenized diffusion with zero drift.

Kategorie tematyczne

• 60K37: Processes in random environments
• 82D30: Random media, disordered materials (including liquid crystals and spin glasses)

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2005
• Tom: 53
• Numer: 2
• Strony: 187-205

Daty

wydano

2005

Twórcy

autor

Ernest Nieznaj

• Department of Mathematics, Faculty of Electrical Engineering and Computer Science, Lublin University of Technology, Nadbystrzycka 38A, 20-618 Lublin, Poland

Identyfikatory

DOI

10.4064/ba53-2-8