Special examples of diffusions in random environment

Ivan del Tenno

Stochastic Processes and their Applications, 2009, vol. 119, issue 3, 924-936

Abstract: In this note we present some examples of diffusions in random environment whose asymptotic behavior is rather surprising. We construct a family of diffusions that are small perturbations of Brownian motion with non-vanishing expected local drift under the static measure of the environment but where the ballistic behavior is lost. As slight modifications of this collection of diffusions we also provide examples with ballistic behavior where the non-vanishing limiting velocity points to a direction opposite to the expected local drift under the static measure.

Keywords: Diffusions; in; random; environment; Invariant; ergodic; measure; Environment; viewed; from; the; particle (search for similar items in EconPapers)
Date: 2009
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