Averaging of semigroups associated to diffusion processes on a simplex

DOI10.1016/J.SPA.2022.04.014MaRDI QIDQ2145780zbMATH OpenOpenAlexFDO

Publication date 20 June 2022

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2111.07310

diffusion processes averaging principle homogenization theory Meyer-Zheng topology ergodic theorem jump Markov processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Transition functions, generators and resolvents (60J35) Jump processes on general state spaces (60J76)

Abstract: We study the averaging of a diffusion process living in a simplex

K

of

m a t h b b R^{n}

,

n g e 1

. We assume that its infinitesimal generator can be decomposed as a sum of two generators corresponding to two distinct timescales and that the one corresponding to the fastest timescale is pure noise with a diffusion coefficient vanishing exactly on the vertices of

K

. We show that this diffusion process averages to a pure jump Markov process living on the vertices of

K

for the Meyer-Zheng topology. The role of the geometric assumptions done on

K

is also discussed.

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