On the Poisson equation and diffusion approximation. I

DOI10.1214/AOP/1015345596zbMath1029.60053OpenAlexW4238063566MaRDI QIDQ1872216

Etienne Pardoux, Alexander Yu. Veretennikov

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1015345596

zbMATH Keywords

diffusion approximationinvariant measurePoisson equationpolynomial recurrenceItô-Krylov formula

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Probabilistic potential theory (60J45) Second-order elliptic equations (35J15)

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