A Law of the Iterated Logarithm for Stochastic Processes Defined by Differential Equations with a Small Parameter
Kouritzin, M. A. ; Heunis, A. J.
Ann. Probab., Tome 22 (1994) no. 4, p. 659-679 / Harvested from Project Euclid
Consider the following random ordinary differential equation: $\dot{X}^\epsilon(\tau) = F(X^\epsilon(\tau), \tau/\epsilon, \omega) \text{subject to} X^\epsilon(0) = x_0$, where $\{F(x, t, \omega), t \geq 0\}$ are stochastic processes indexed by $x$ in $\mathfrak{R}^d$, and the dependence on $x$ is sufficiently regular to ensure that the equation has a unique solution $X^\epsilon(\tau, \omega)$ over the interval $0 \leq \tau \leq 1$ for each $\epsilon > 0$. Under rather general conditions one can associate with the preceding equation a nonrandom averaged equation: $\dot{x}^0(\tau) = \overline{F}(x^0(\tau)) \text{subject to} x^0(0) = x_0,$ such that $\lim_{\epsilon\rightarrow 0} \sup_{0\leq\tau\leq 1}E|X^\epsilon(\tau) - x^0(\tau)| = 0$. In this article we show that as $\epsilon \rightarrow 0$ the random function $(X^\epsilon(\cdot) - x^0(\cdot))/\sqrt{2\epsilon\log\log\epsilon^{-1}}$ almost surely converges to and clusters throughout a compact set $K$ of $C\lbrack 0, 1\rbrack$.
Publié le : 1994-04-14
Classification:  Ordinary differential equation,  mixing processes,  central limit theorem,  laws of the iterated logarithm,  60F15,  60F17,  93E03
@article{1176988724,
     author = {Kouritzin, M. A. and Heunis, A. J.},
     title = {A Law of the Iterated Logarithm for Stochastic Processes Defined by Differential Equations with a Small Parameter},
     journal = {Ann. Probab.},
     volume = {22},
     number = {4},
     year = {1994},
     pages = { 659-679},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988724}
}
Kouritzin, M. A.; Heunis, A. J. A Law of the Iterated Logarithm for Stochastic Processes Defined by Differential Equations with a Small Parameter. Ann. Probab., Tome 22 (1994) no. 4, pp.  659-679. http://gdmltest.u-ga.fr/item/1176988724/