Diffusion Approximation for Transport Equations with Dissipative Drifts for Time Dependent Coefficients
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Publication:6416441
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Brownian motion (60J65) Perturbations of ordinary differential equations (34D10) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Height functions; Green functions; invariant measures in arithmetic and non-Archimedean dynamical systems (37P30) Transport equations (35Q49)
Abstract: We consider a generalization of classical results of Freidlin and Wentzell to the case of time dependent dissipative drifts. We show the convergence of diffusions with multiplicative noise in the zero limit of a diffusivity parameter to the related dynamical systems. The solution to the associated transport equation is obtained as an application.
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