Central limit theorem for an infinite lattice system of interacting diffusion processes

DOI10.1214/AOP/1176991781MaRDI QIDQ1107212zbMATH OpenOpenAlexFDO

Authors Jean-Dominique Deuschel

Publication date 1988

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

Full work available at URL https://doi.org/10.1214/aop/1176991781

zbMATH Keywords

central limit theoremfluctuation fieldHaussmann formulainfinite-dimensional stochastic differential equation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Review text

The author considers the following stochastic differential equation: \[ dX\quad i_ t=b\quad i(X_ t)dt+dW\quad i_ t \] with \(0\leq t\leq 1\), \(i\in Z\) d, b i shiftinvariant, (W i) independent Wiener processes. Let F be a smooth functional on the path space. Then asymptotic normality of the standardized sum of shifts of F is shown provided the central limit theorem holds for the initial distribution. The main idea is to obtain an explicit expression for the integrand in the representation of F as a stochastic integral by generalizing the Haussmann formula to infinite dimensions. This makes it possible to check the condition of a standard central limit theorem for martingales. Moreover it is shown that an exponential decay of correlations for the initial distribution results in a similar decay for the distribution on the path space. Finally the stochastic differential equation of the fluctuation field is obtained.

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