Asymptotic expansion for the functional of Markovian evolution in \(\mathbb{R}^{d}\) in the circuit of diffusion approximation (Q2498180)

The author studies an asymptotic expansion for the solution \(u^\varepsilon(x, t)= (u^\varepsilon_1(x, t),\dots, u^\varepsilon_N(x, t))\) of the following singularly perturbed equation \[ {\partial\over\partial t} u^\varepsilon(x, t)= \varepsilon^{-2} Qu^\varepsilon(x, t)+ \varepsilon^{-1}A\nabla u^\varepsilon(x, t),\quad x\in\mathbb{R}^d, \] \[ u^\varepsilon(x, 0)=\overline f(x)= (f(x),\dots, f(x)),\quad \overline f\in C^\infty(\mathbb{R}^d), \] integrable, where \(Q\) is the intensity matrix of an ergodic Markov process \(\xi(s)\) in \(E= \{1,\dots, N\}\), \(A\) is a matrix \[ A= (a_k(i),\,k\in \{1,\dots, d\},\quad i= \{1,\dots, N\}), \] \[ A\nabla= \text{diag}[(a(i),\nabla),\quad i= 1,\dots, N],\,\nabla= (\partial/\partial x_1,\dots,\partial/\partial x_d). \] This is done by means of the evolution \[ x^\varepsilon(t)= x+ \varepsilon\int^{t/\varepsilon^2}_0 a(\xi(s))\,ds, \] which satisfies \(u^\varepsilon_i(x, t)= E_i\overline f(x^\varepsilon(t))\), \(i= 1,\dots, N\) (\(i\) is the initial state of \(\xi(s)\)).