On the Poisson equation and diffusion approximation. III (Q1781177): Difference between revisions

This is the third authors' papers devoted to the study of the Poisson equation \(Lu=-f\) in \(R^d\) with infinitesimal generator \(L\) of a diffusion process and diffusion approximation. In the first paper [Ann. Probab. 29, 1061--1085 (2001; Zbl 1029.60053)] they solved the Poisson equation for the generator of an elliptic and ergodic diffusion, using mainly probabilistic arguments, and obtained estimates of the solution. In the second paper [ibid. 31, 1166-1192 (2003; Zbl 1054.60064)] they considered the case where the coefficients of the perturbed stochastic differential equation depend on some perturbed process which is described by a singularly perturbed ODE. The regularity results of the solution of a Poisson equation, where both the PDE operator \(L^{\varepsilon}\) and the right-hand side \(f^{\varepsilon}\) depend on a parameter \(\varepsilon,\) were established. In this third paper, the authors consider the situation of the first paper with relaxation for ellipticity assumption and allow the second-order part of the generator \(L\) to be degenerate. A weak formulated Poisson equation is solved by the same probabilistic formula as in the elliptic case. This result is applied to the diffusion approximation problem, and weak convergence in this case is meant in the sense of the \(S\)-topology of \textit{A. Jakubowski} [Electron. J. Probab. 2, No. 4 (1997; Zbl 0890.60003)].