A Central Limit Theorem for Diffusions with Periodic Coefficients
Bhattacharya, Rabi
Ann. Probab., Tome 13 (1985) no. 4, p. 385-396 / Harvested from Project Euclid
It is proved that if $X_t$ is a diffusion generated by the operator $L = 1/2 \sum a_{ij}(x)\partial^2/\partial x_i\partial x_j + \sum u_0b_i(x)\partial/\partial x_i$ having periodic coefficients, then $\lambda^{-1/2}(X_{\lambda t} - \lambda u_0 \bar{b}t), t \geq 0$, converges in distribution to a Brownian motion as $\lambda \rightarrow \infty$. Here $\bar{b}$ is the mean of $b(x) = (b_1(x), \cdots, b_k(x))$ with respect to the invariant distribution for the diffusion induced on the torus $T^k = \lbrack 0, 1)^k$. The dispersion matrix of the limiting Brownian motion is also computed. In case $\bar{b} = 0$ this result was obtained by Bensoussan, Lions and Papanicolaou (1978). (See Theorem 4.3, page 401, as well as the author's remarks on page 529.) The case $\bar{b} \neq 0$ is of interest in understanding how solute dispersion in a porous medium behaves as the liquid velocity increases in magnitude.
Publié le : 1985-05-14
Classification:  Markov process on the torus,  generator,  dispersion,  60J60,  60F17
@article{1176992998,
     author = {Bhattacharya, Rabi},
     title = {A Central Limit Theorem for Diffusions with Periodic Coefficients},
     journal = {Ann. Probab.},
     volume = {13},
     number = {4},
     year = {1985},
     pages = { 385-396},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992998}
}
Bhattacharya, Rabi. A Central Limit Theorem for Diffusions with Periodic Coefficients. Ann. Probab., Tome 13 (1985) no. 4, pp.  385-396. http://gdmltest.u-ga.fr/item/1176992998/