Invariance principle for a diffusion in a Markov field

• Autorzy: Fannjiang, A. , Komorowski, T.
• Języki publikacji: EN

Abstrakty

EN

We study a diffusion with a random, time Markovian drift and non-vanishing diffusivity. We prove the invariance principle when the drift possesses certain decorrelation properties both in time and space.

Słowa kluczowe

PL

homogenizacja; martyngał; proces dyfuzyjny; zasada niezmienniczości

EN

homogenization; invariance principle; martingale

• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2001
• Tom: Vol. 49, no 1
• Strony: 45--65
• Opis fizyczny: Bibliogr. 18 poz.

Twórcy

autor

Fannjiang, A.

• Department of Mathematics, University of California, Davis, Ca 95616-8633, U.S.A.,

autor

Komorowski, T.

• Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-950 Warszawa,
• Institute of Mathematics, Maria-Curie Skłodowska University, Pl. Marii-Curie Skłodowskiej 1, 20-031 Lublin, Poland

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