On averaging principle for diffusion processes with null-recurrent fast component

R. Khasminskii and N. Krylov

Stochastic Processes and their Applications, 2001, vol. 93, issue 2, 229-240

Abstract: An averaging principle is proved for diffusion processes of type (X[var epsilon](t),Y[var epsilon](t)) with null-recurrent fast component X[var epsilon](t). In contrast with positive recurrent setting, the slow component Y[var epsilon](t) alone cannot be approximated by diffusion processes. However, one can approximate the pair (X[var epsilon](t),Y[var epsilon](t)) by a Markov diffusion with coefficients averaged in some sense.

Keywords: Averaging; principle; Null-recurrent; diffusion; Arcsine; law; Homogenization (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (6)

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