One-dimensional diffusion in an asymmetric random environment

DOI10.1016/J.ANIHPB.2005.08.004MaRDI QIDQ858487zbMATH OpenOpenAlexFDO

Authors Dimitrios Cheliotis

Publication date 9 January 2007

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0610057, http://www.numdam.org/item?id=AIHPB_2006__42_6_715_0, http://www.numdam.org/item?id=AIHPB_2006__42_6_715_0/, https://eudml.org/doc/77916

zbMATH Keywords

renewal theoremstable process

Mathematics Subject Classification ID

Diffusion processes (60J60) Stable stochastic processes (60G52) Processes in random environments (60K37)

Abstract: According to a theorem of S. Schumacher, for a diffusion X in an environment determined by a stable process that belongs to an appropriate class and has index a, it holds that X_t/(log t)^a converges in distribution, as t goes to infinity, to a random variable having an explicit description in terms of the environment. We compute the density of this random variable in the case the stable process is spectrally one-sided. This computation extends a result of H. Kesten and quantifies the bias that the asymmetry of the environment causes to the behavior of the diffusion.

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Cited in

(7)

• Invariant distributions and scaling limits for some diffusions in time-varying random environments
• Biased diffusion in a piecewise linear random potential
• Local time of a diffusion in a stable Lévy environment
• The alternating marked point process of \(h\)-slopes of drifted Brownian motion
• Annealed tail estimates for a Brownian motion in a drifted Brownian potential
• Almost sure behavior for the local time of a diffusion in a spectrally negative Lévy environment
• The maximum of the local time of a diffusion process in a drifted Brownian potential

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