Central limit theorem for a Gaussian incompressible flow with additional Brownian noise

• Autorzy: Miernowski T.
• Języki publikacji: EN

Abstrakty

EN

We generalize the result of Komorowski and Papanicolaou published in [7]. We consider the solution of stochastic differential equation dX (t) = V (t, X(t)) dt + √2κdB(t), where B(t) is a standard d-dimensional Brownian motion and V (t, x), (t, x) ∈ R × R^d, is a d-dimensional, incompressible, stationary, random Gaussian field decorrelating in finite time. We prove that the weak limit as ε ↓ 0 of the family of rescaled processes X_ε(t) = εX(t/ε²) exists and may be identified as a certain Brownian motion.

Słowa kluczowe

EN

weak convergence; random process; Gaussian field; incompressible flow; diffusion

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2003
• Tom: Vol. 23, Fasc. 2
• Strony: 413--434
• Opis fizyczny: Bibliogr. 15 poz.

Twórcy

autor

Miernowski T.

• UMPA, ENS Lyon, UMR 5669 CNRS, 46 allée d'Italie, 69364 Lyon cedex 07, France

Bibliografia

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