Asymptotic analysis of a certain random differential equation
type: Item
instance of: scholarly article
title: Asymptotic analysis of a certain random differential equation
zbMATH Open document ID: 0556.60026
DOI: 10.1016/0304-4149(84)90003-6
author: Arnaldo Nogueira
published in: Stochastic Processes and their Applications
publication date: 1984-01-01T00:00:00Z
review text: One considers an initial value problem \(dy_{\lambda}/dt=\lambda \cdot V(t)y_{\lambda}\), \(y_{\lambda}(0)=\phi\), in a Hilbert space \((H,<\cdot >)\) with V(t), \(t\geq 0\), being an operator valued process, stationary in time, satisfying some measurability and mixing conditions. [See for comparison: \textit{G. C. Papanicolaou} and \textit{S. R. S. Varadhan}, Commun. Pure Appl. Math. 26, 497-524 (1973; Zbl 0253.60065)]. Here it is shown that in the limit \(\lambda\) \(\to 0\) (''weak coupling limit'') one gets \[ {\mathcal E}<y_{\lambda}(t\cdot \lambda^{-2}),\psi >=<S(t)\phi,\psi > \] for all \(\psi\in H\) and \(t>0\), where S(t), \(t\geq 0\), is a contraction semigroup, whose generator \(\bar V\) is explicitly given by \[ \bar V\psi =\lim_{T\to \infty}T^{-1}\cdot \iint_{0\leq r,s\leq T}dsdr{\mathcal E}V(s)V(r)\psi. \]
Mathematics Subject Classification ID: 60H25
zbMATH DE Number: 3886839
zbMATH Keywords: operator valued process
zbMATH Keywords: mixing conditions
zbMATH Keywords: weak coupling limit
zbMATH Keywords: contraction semigroup
MaRDI profile type: MaRDI publication profile
full work available at URL: 0304-4149(84)90003-6
OpenAlex ID: W1985338218
Wikidata QID: Q115363671
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description: scientific article; zbMATH DE number 3886839