On Poisson equation and diffusion approximation. II.
From MaRDI portal
Publication:1431482
DOI10.1214/aop/1055425774zbMath1054.60064OpenAlexW4245280614MaRDI QIDQ1431482
Etienne Pardoux, Alexander Yu. Veretennikov
Publication date: 10 June 2004
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aop/1055425774
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Dependence of solutions to PDEs on initial and/or boundary data and/or on parameters of PDEs (35B30) Second-order elliptic equations (35J15) Transition functions, generators and resolvents (60J35)
Related Items (90)
Averaging principle of SDE with small diffusion: Moderate deviations ⋮ Homogenization for stochastic reaction-diffusion equations with singular perturbation term ⋮ The averaging principle for stochastic differential equations driven by a Wiener process revisited ⋮ A Weak Overdamped Limit Theorem for Langevin Processes ⋮ Convergence of stochastic-extended Lagrangian molecular dynamics method for polarizable force field simulation ⋮ Curl flux induced drift in stochastic differential equations in the zero-mass limit ⋮ Singular homogenization with stationary in time and periodic in space coefficients ⋮ The small-mass limit and white-noise limit of an infinite dimensional generalized Langevin equation ⋮ Auxiliary SDEs for homogenization of quasilinear PDEs with periodic coefficients. ⋮ Third-order asymptotic expansion of \(M\)-estimators for diffusion processes ⋮ Non-equilibrium steady states for chains of four rotors ⋮ Distances between transition probabilities of diffusions and applications to nonlinear Fokker-Planck-Kolmogorov equations ⋮ Estimates of distances between transition probabilities of diffusions ⋮ The Smoluchowski-Kramers limits of stochastic differential equations with irregular coefficients ⋮ Averaging of semigroups associated to diffusion processes on a simplex ⋮ Reflected BSDE and Locally Periodic Homogenization of Semilinear PDEs with Nonlinear Neumann Boundary Condition ⋮ Viscosity methods for large deviations estimates of multiscale stochastic processes ⋮ Diffusion approximation of systems with weakly ergodic Markov perturbations. I ⋮ A convergence analysis of the perturbed compositional gradient flow: averaging principle and normal deviations ⋮ Approximation of the Filter Equation for Multiple Timescale, Correlated, Nonlinear Systems ⋮ Particle filtering in high-dimensional chaotic systems ⋮ Dimensional reduction in nonlinear filtering: a homogenization approach ⋮ Rate of homogenization for fully-coupled McKean–Vlasov SDEs ⋮ Fluctuation analysis for a class of nonlinear systems with fast periodic sampling and small state-dependent white noise ⋮ Averaging principle and normal deviations for multi-scale stochastic hyperbolic-parabolic equations ⋮ Strong averaging principle for a class of slow-fast singular SPDEs driven by \(\alpha\)-stable process ⋮ An averaging principle for fast-slow-coupled neutral stochastic differential equations with time-varying delay ⋮ Drazin-inverse and heat capacity for driven random walkers on the ring ⋮ Online parameter estimation for the McKean-Vlasov stochastic differential equation ⋮ Fokker-Planck-Kolmogorov equations with a parameter ⋮ Orders of strong and weak averaging principle for multi-scale SPDEs driven by \(\alpha \)-stable process ⋮ Singular perturbations in stochastic optimal control with unbounded data ⋮ Fast-slow stochastic dynamical system with singular coefficients ⋮ Asymptotic behavior of multiscale stochastic partial differential equations with Hölder coefficients ⋮ On the (non)stationary density of fractional-driven stochastic differential equations ⋮ Large deviations for multiscale diffusion via weak convergence methods ⋮ Fundamental solution for super-critical non-symmetric Lévy-type operators ⋮ Poisson Equation on Wasserstein Space and Diffusion Approximations for Multiscale McKean–Vlasov Equation ⋮ Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations ⋮ Large deviations and importance sampling for systems of slow-fast motion ⋮ Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement ⋮ Optimal control with random parameters: a multiscale approach ⋮ Ergodic approximation of the distribution of a stationary diffusion: rate of convergence ⋮ A mixed-step algorithm for the approximation of the stationary regime of a diffusion ⋮ On Poisson equations with a potential in the whole space for “ergodic” generators ⋮ Stochastic Gradient Descent in Continuous Time ⋮ Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem ⋮ Coarse Graining of Nonreversible Stochastic Differential Equations: Quantitative Results and Connections to Averaging ⋮ Averaging principle for slow-fast stochastic partial differential equations with Hölder continuous coefficients ⋮ Brownian motion in an \(N\)-scale periodic potential ⋮ Well-posedness, stability and sensitivities for stochastic delay equations: a generalized coupling approach ⋮ Effective behavior of cooperative and nonidentical molecular motors ⋮ Discrete-Time Statistical Inference for Multiscale Diffusions ⋮ Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion ⋮ Computation of the invariant measure for a Lévy driven SDE: Rate of convergence ⋮ Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes ⋮ Spectral Methods for Multiscale Stochastic Differential Equations ⋮ Diffusion approximation for multi-scale stochastic reaction-diffusion equations ⋮ Online drift estimation for jump-diffusion processes ⋮ Moment bounds for dissipative semimartingales with heavy jumps ⋮ Scaling limits of processes with fast nonlinear mean reversion ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion ⋮ On Sobolev solutions of Poisson equations in \(\mathbb R^d\) with a parameter ⋮ Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics ⋮ MDP for integral functionals of fast and slow processes with averaging ⋮ The Smoluchowski-Kramers limit of stochastic differential equations with arbitrary state-dependent friction ⋮ Limit behavior of two-time-scale diffusions revisited ⋮ Estimates of the transition density of a gas system ⋮ Averaging principle and normal deviations for multiscale stochastic systems ⋮ On the Poisson equation and diffusion approximation. III ⋮ Limits of noise for autoregulated gene expression ⋮ Statistical inference for perturbed multiscale dynamical systems ⋮ Diffusion approximation for fully coupled stochastic differential equations ⋮ Maximum likelihood drift estimation for multiscale diffusions ⋮ Strong convergence order for slow-fast McKean-Vlasov stochastic differential equations ⋮ Martingale structure for general thermodynamic functionals of diffusion processes under second-order averaging ⋮ Typical dynamics and fluctuation analysis of slow–fast systems driven by fractional Brownian motion ⋮ Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs ⋮ Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations ⋮ Stochastic model reduction: convergence and applications to climate equations ⋮ Strong and weak convergence rates for slow-fast stochastic differential equations driven by \(\alpha \)-stable process ⋮ On a Skorokhod problem with small double limit ⋮ Extended Poisson equation for weakly ergodic Markov processes ⋮ Filtering the Maximum Likelihood for Multiscale Problems ⋮ A decreasing step method for strongly oscillating stochastic models ⋮ Large deviations for interacting multiscale particle systems ⋮ On mixing and convergence rates for a family of Markov processes approximating SDEs ⋮ NonReversible Sampling Schemes on Submanifolds ⋮ Averaging principle for two-time-scale stochastic differential equations with correlated noise ⋮ Differentiability of solutions of stationary Fokker-Planck-Kolmogorov equations with respect to a parameter
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On polynomial mixing bounds for stochastic differential equations
- On the smoothness of an invariant measure of a Markov chain with respect to a parameter.
- On the Poisson equation and diffusion approximation. I
- A Liapounov bound for solutions of the Poisson equation
- On Polynomial Mixing and Convergence Rate for Stochastic Difference and Differential Equations
This page was built for publication: On Poisson equation and diffusion approximation. II.
