Central Limit Theorem for Diffusion Processes in an Anisotropic Random Environment

Ernest Nieznaj. "Central Limit Theorem for Diffusion Processes in an Anisotropic Random Environment." Bulletin of the Polish Academy of Sciences. Mathematics 53.2 (2005): 187-205. <http://eudml.org/doc/280604>.

@article{ErnestNieznaj2005,
abstract = {We prove the central limit theorem for symmetric diffusion processes with non-zero drift in a random environment. The case of zero drift has been investigated in e.g. [18], [7]. In addition we show that the covariance matrix of the limiting Gaussian random vector corresponding to the diffusion with drift converges, as the drift vanishes, to the covariance of the homogenized diffusion with zero drift.},
author = {Ernest Nieznaj},
journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
keywords = {Diffusions; Random fields; Effective diffusivity},
language = {eng},
number = {2},
pages = {187-205},
title = {Central Limit Theorem for Diffusion Processes in an Anisotropic Random Environment},
url = {http://eudml.org/doc/280604},
volume = {53},
year = {2005},
}

TY - JOUR
AU - Ernest Nieznaj
TI - Central Limit Theorem for Diffusion Processes in an Anisotropic Random Environment
JO - Bulletin of the Polish Academy of Sciences. Mathematics
PY - 2005
VL - 53
IS - 2
SP - 187
EP - 205
AB - We prove the central limit theorem for symmetric diffusion processes with non-zero drift in a random environment. The case of zero drift has been investigated in e.g. [18], [7]. In addition we show that the covariance matrix of the limiting Gaussian random vector corresponding to the diffusion with drift converges, as the drift vanishes, to the covariance of the homogenized diffusion with zero drift.
LA - eng
KW - Diffusions; Random fields; Effective diffusivity
UR - http://eudml.org/doc/280604
ER -