Periodic homogenization for hypoelliptic diffusions

DOI10.1023/B:JOSS.0000044055.59822.20MaRDI QIDQ2507529zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 11 October 2006

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

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

zbMATH Keywords

Diffusion processeshypoellipticityLangevin equationmartingale central limit theoremOrnstein-Uhlenbeck processperiodic homogeneizationPoisson equationSmoluchowski equation

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)

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.

Review text

The long time behavior of an Ornstein-Uhlenbeck process is investigated, under the influence of a periodic drift. That involves the problem of homogenization for periodic hypoelliptic diffusions. It is proved that the rescaled particle position weakly converges to a Brownian motion, whose covariance matrix is determined by a solution of the Poisson equation. Estimates on the particle velocity are established. Upper bounds on the convergence rate in several norms were obtained and an optimality of the \(p\)-Wassserstein metric was indicated.

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