Solutions of a Stochastic Differential Equation Forced Onto a Manifold by a Large Drift
Katzenberger, G. S.
Ann. Probab., Tome 19 (1991) no. 4, p. 1587-1628 / Harvested from Project Euclid
We consider a sequence of $\mathbb{R}^d$-valued semimartingales $\{X_n\}$ satisfying $X_n(t) = X_n(0) + \int^t_0\sigma_n(X_n(s-))dZ_n(s) + \int^t_0F(X_n(s-))dA_n(s),$ where $\{Z_n\}$ is a "well-behaved" sequence of $\mathbb{R}^e$-valued semimartingales, $\sigma_n$ is a continuous $d \times e$ matrix-valued function, $F$ is a vector field whose deterministic flow has an asymptotically stable manifold of fixed points $\Gamma$, and $A_n$ is a nondecreasing process which asymptotically puts infinite mass on every interval. Many Markov processes with lower dimensional diffusion approximations can be written in this form. Intuitively, if $X_n(0)$ is close to $\Gamma$, the drift term $F dA_n$ forces $X_n$ to stay close to $\Gamma$, and any limiting process must actually stay on $\Gamma$. If $X_n(0)$ is only in the domain of attraction of $\Gamma$ under the flow of $F$, then the drift term immediately carries $X_n$ close to $\Gamma$ and forces $X_n$ to stay close to $\Gamma$. We make these ideas rigorous, give conditions under which $\{X_n\}$ is relatively compact in the Skorohod topology and give a stochastic integral equation for the limiting process(es).
Publié le : 1991-10-14
Classification:  Stochastic differential equation,  semimartingale,  diffusion,  diffusion approximation,  manifold,  flow,  60H10,  60J60,  60J70
@article{1176990225,
     author = {Katzenberger, G. S.},
     title = {Solutions of a Stochastic Differential Equation Forced Onto a Manifold by a Large Drift},
     journal = {Ann. Probab.},
     volume = {19},
     number = {4},
     year = {1991},
     pages = { 1587-1628},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176990225}
}
Katzenberger, G. S. Solutions of a Stochastic Differential Equation Forced Onto a Manifold by a Large Drift. Ann. Probab., Tome 19 (1991) no. 4, pp.  1587-1628. http://gdmltest.u-ga.fr/item/1176990225/