Asymptotic behavior for a time-inhomogeneous Kolmogorov type diffusion

DOI10.1051/PS/2022014MaRDI QIDQ6133908zbMATH OpenOpenAlexFDO

Authors Mihai Gradinaru, Emeline Luirard

Publication date 21 August 2023

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2004.11576

zbMATH Keywords

ergodicityasymptotic distributionexplosion timescaling transformationkinetic stochastic equationtime-inhomogeneous diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We study a kinetic stochastic model with a non-linear time-inhomogeneous drag force and a Brownian-type random force. More precisely, the Kolmogorov type diffusion $(V,X)$ is considered: here $X$ is the position of the particle and $V$ is its velocity and is solution of a stochastic differential equation driven by a one-dimensional Brownian motion, with the drift of the form $$. The function $F$ satisfies some homogeneity condition and $$ is positive. The behaviour of the process $(V,X)$ in large time is proved by using stochastic analysis tools.

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Cited in

(4)

• Anomalous diffusion for multi-dimensional critical kinetic Fokker-Planck equations
• Existence and asymptotic behaviour of some time-inhomogeneous diffusions
• Scaling limit of a kinetic inhomogeneous stochastic system in the quadratic potential
• Kinetic time-inhomogeneous Lévy-driven model

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