Limit behavior of two-time-scale diffusions revisited
Limit behavior of two-time-scale diffusions revisited
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DOI：
10.1016/j.jde.2004.08.013
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发表时间：
2005-05
影响因子：
2.4
通讯作者：
R. Khasminskii;G. Yin
中科院分区：
文献类型：
--
作者：
R. Khasminskii;G. Yin
这项工作是关于扩散与双时间尺度或奇摄动扩散。给出了抛物型偏微分方程相关柯西问题解的渐近展开式，并给出了期望的误差范围。然后利用这些渐近展开式分析归一化积分泛函的相关极限分布。
This work is concerned with diffusions with two-time scales or singularly perturbed diffusions. Asymptotic expansions of the solution of the associated Cauchy problem for parabolic partial differential equation are obtained and the desired error bounds are derived. These asymptotic expansions are then used to analyze related limit distributions of normalized integral functionals.