A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems

Kurtz, Thomas G.; Xiong, Jie

Commun. Math. Sci., Tome 2 (2004) no. 2, p. 325-358 / Harvested from Project Euclid

Résumé

In an earlier paper, we studied the approximation of solutions V(t) to a class of SPDEs by the empirical measure Vⁿ(t) of a system of n interacting diffusions. In the present paper, we consider a central limit type problem, showing that \sqrt{n}(Vⁿ-V )n converges weakly, in the dual of a nuclear space, to the unique solution of a stochastic evolution equation. Analogous results in which the di.usions that determine Vⁿ are replaced by their Euler approximations are also discussed.

Publié le : 2004-09-14
Classification:

@article{1109868725,
     author = {Kurtz, Thomas G. and Xiong, Jie},
     title = {A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems},
     journal = {Commun. Math. Sci.},
     volume = {2},
     number = {2},
     year = {2004},
     pages = { 325-358},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1109868725}
}

Kurtz, Thomas G.; Xiong, Jie. A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems. Commun. Math. Sci., Tome 2 (2004) no. 2, pp.  325-358. http://gdmltest.u-ga.fr/item/1109868725/