Periodic homogenization for hypoelliptic diffusions

DOI10.1023/B:JOSS.0000044055.59822.20zbMATH Open1130.82026arXivmath-ph/0403003OpenAlexW1964981294MaRDI QIDQ2507529FDOQ2507529

Authors: Yanyan Li 

Publication date: 11 October 2006

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: We study the long time behavior of an Ornstein-Uhlenbeck process under the influence of a periodic drift. We prove that, under the standard diffusive rescaling, the law of the particle position converges weakly to the law of a Brownian motion whose covariance can be expressed in terms of the solution of a Poisson equation. We also derive upper bounds on the convergence rate.

Full work available at URL: https://arxiv.org/abs/math-ph/0403003

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zbMATH Keywords

Ornstein-Uhlenbeck processPoisson equationhypoellipticityLangevin equationSmoluchowski equationmartingale central limit theoremDiffusion processesperiodic homogeneization

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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