Tightness problem and stochastic evolution equation arising from fluctuation phenomena for interacting diffusions

Masuyuki Hitsuda and Itaru Mitoma

Journal of Multivariate Analysis, 1986, vol. 19, issue 2, 311-328

Abstract: The central limit (or fluctuation) phenomena are discussed in the interacting diffusion system. The tightness in the Kolmogorov-Prokhorov sense is proved for a sequence of distribution valued processes arising from finite particle systems. Further, the stochastic differential equation for the limit process is derived by constructing an infinite dimensional Brownian motion.

Keywords: central; limit; theorem; fluctuation; interacting; diffusion; system; infinite; dimensional; process (search for similar items in EconPapers)
Date: 1986
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Citations: View citations in EconPapers (4)

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