Homogenization of locally stationary diffusions with possibly degenerate diffusion matrix (Q985340): Difference between revisions

The paper deals with homogenization of second order PDEs with locally stationary coefficients. Namely, it is considered the strong solution \(X^\varepsilon\) of the following stochastic differential equation \[ X^\varepsilon_t= x+{1\over\varepsilon} \int^t_0 b\Biggl({X^\varepsilon_r\over\varepsilon}, X^\varepsilon_r\Biggr)\,dr+ \int^t_0 c\Biggl({X^\varepsilon_r\over \varepsilon}, X^\varepsilon_r\Biggr)\,dr+ \int^t_0\sigma \Biggl({X^\varepsilon_r\over\varepsilon}, X^\varepsilon_r\Biggr)\, dB_r, \] where for each \(y\in\mathbb{R}^d\) coefficients \(b(\cdot,y)\), \(c(\cdot,y)\), \(\sigma(\cdot,y)\) are stationary random fields independent of the \(d\)-dimensional standard Brownian motion \(B\). Thus \(b\), \(c\) and \(\sigma\) take into account both microscopic and macroscopic evolution scales. It is proved that, under suitable assumptions, the process \(X^\varepsilon\) converges weakly as \(\varepsilon\to 0\) in \(C([0, T];\mathbb{R}^d)\) to the solution of a stochastic differential equation with deterministic coefficients. The paper follows and improves the author's earlier paper [Probab. Theor. Related Fields, 143, 545--568 (2009; Zbl 1163.60049)] by considering possibly degenerate diffusion matrices.