Limit behavior of two-time-scale diffusions revisited

被引：69

作者：

Khasminskii, RZ ^{[1
]}

Yin, G ^{[1
]}

机构：

[1] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

来源：

JOURNAL OF DIFFERENTIAL EQUATIONS | 2005年 / 212卷 / 01期

基金：

美国国家科学基金会;

关键词：

parabolic partial differential equation; singular perturbation; two-time scale; asymptotic expansion; functional of diffusion;

D O I：

10.1016/j.jde.2004.08.013

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This work is concerned with diffusions with two-time scales or singularly perturbed diffusions. Asymptotic expansions of the solution of the associated Cauchy problem for parabolic partial differential equation are obtained and the desired error bounds are derived. These asymptotic expansions are then used to analyze related limit distributions of normalized integral functionals. (c) 2004 Elsevier Inc. All rights reserved.

引用

页码：85 / 113

页数：29

共 26 条

[1]

[Anonymous], 1984, Random Perturbations of Dynamical Systems

[2]

[Anonymous], 1996, GRADUATE STUDIES MAT

[3]

[Anonymous], PARTIAL DIFFERENTIAL

[4]

[Anonymous], LECT APPL MATH

[5]

BOGOLIBOV NN, 1961, ASYMPTOTIC METHODS

[6]

Doob J, 1990, STOCHASTIC PROCESSES

[7]

Folland G., 1976, INTRO PARTIAL DIFFER, DOI DOI 10.1515/9780691213033

[8]

FRIEDMAN A., 1964, Partial differential equations of parabolic type

[9]

Gilbarg D., 2001, ELLIPTIC PARTIAL DIF, DOI DOI 10.1007/978-3-642-61798-0

[10]

Ikeda N., 1989, STOCHASTIC DIFFERENT, DOI DOI 10.1002/BIMJ.4710320720

← 1 2 3 →