An averaging principle for stochastic flows and convergence of non-symmetric Dirichlet forms

DOI10.1007/S11118-020-09893-XMaRDI QIDQ2118843zbMATH OpenOpenAlexFDO

Authors Florent Barret, Olivier Raimond

Publication date 23 March 2022

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.07587

zbMATH Keywords

averaging principleMosco-convergencenon-symmetric Dirichlet formsstochastic flows

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Dirichlet form methods in Markov processes (60J46) Diffusion processes (60J60)

Abstract: We study diffusion processes and stochastic flows which are time-changed random perturbations of a deterministic flow on a manifold. Using non-symmetric Dirichlet forms and their convergence in a sense close to the Mosco-convergence, we prove that, as the deterministic flow is accelerated, the diffusion process converges in law to a diffusion defined on a different space. This averaging principle also holds at the level of the flows. Our contributions in this article include: a proof of an original averaging principle for stochastic flows of kernels; the definition and study of a convergence of sequences of non-symmetric bilinear forms defined on different spaces; the study of weighted Sobolev spaces on metric graphs or "books".

Review text

Let \(X^\kappa\) be a diffusion process on a Riemannian manifold \(M\) with generator \(A^\kappa=A+\kappa V\), where \(A\) is a second order differential operator, \(V\) is a vector field on \(M\) and \(\kappa\) is a large positive parameter. After an appropriate time change, \(X^\kappa\) is a random perturbation of the dynamical system \(\frac{dx_t}{dt}=V(x_t)\). Suppose that one is able to construct a certain metric space \(\tilde{M}\) and a continuous map \(\pi: M\rightarrow \tilde{M}\). Using non-symmetric Dirichlet forms and their convergence in a sense close to the Mosco convergence, the paper under review mainly obtains that under suitable conditions, \(\tilde{X}^\kappa:=\pi(X^\kappa)\) converges in law towards a diffusion process \(\tilde{X}\) on \(\tilde{M}\) as \(\kappa\rightarrow \infty\). This result permits higher dimensions than \(d=2\), and the case of dimension \(2\) was paid particular attention to in the book [\textit{M. I. Freidlin} and \textit{A. D. Wentzell}, Random perturbations of dynamical systems. Translated from the Russian by J Szücs. 3rd ed. Berlin: Springer (2012; Zbl 1267.60004)]. Furthermore, this result is also applied to a system of \(n\) particles in a turbulent fluid with a shear flow generated by \(V\).

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Cited in

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• Averaging principle for diffusion processes via Dirichlet forms

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