An asymptotic analysis of a generalized Langevin equation (Q1826215)

Consider the generalized Langevin equation defined in the Itô sense of the form \[ dv_{\eta}=-\eta^ 2\alpha_{\eta}(z_{\eta},\eta s)v_{\eta}ds+d\omega_{\eta},\quad v_{\eta}(s_ 0)=v_ 0,\quad dz_{\eta}=\eta v_{\eta}ds,\quad z_{\eta}(s_ 0)=z_ 0, \] which is often used as a model of the velocity, \(v_{\eta}\), of a particle suspended in a turbulent medium. Here, \(dw_{\eta}=\eta \lambda_{\eta}(z_{\eta},\eta s)d\omega +\eta \beta_{\eta}(z_{\eta},\eta s)ds\) and \(\omega\) (s) is a Wiener process with zero drift. It is shown that as \(\eta\) \(\to \infty\), the displacement, \(z_{\eta}\), converges uniformly in mean square to the process z that satisfies \[ dz=\sigma (z,s)d\omega +\gamma (z,s)ds,\quad z(s_ 0)=z_ 0; \] where \(\sigma =\lambda /\alpha\), \(\gamma =\beta /\alpha -2^{-1}(\lambda^ 2/\alpha^ 3)\partial \alpha /\partial z\) and \(\alpha_{\eta}\), \(\partial \alpha_{\eta}/\partial z\), \(\lambda_{\eta}\) and \(\beta_{\eta}\) converge uniformly to \(\alpha\), \(\partial \alpha /\partial z\), \(\lambda\) and \(\beta\), respectively.