Some remark on the asymptotic variance in a drift accelerated diffusion

A. Ouled Said

Statistics & Probability Letters, 2020, vol. 162, issue C

Abstract: The main purpose of this paper is to give some general formula for the asymptotic variance of a drifted diffusion as the drift is increased by a large constant. Some formula for the asymptotic variance when the amplitude of the drift grows to infinity was given by Hwang et al. (2015) and also by Duncan et al. (2016). Our intention is to give some unifying formula for the asymptotic variance which contains as special cases the expression of Hwang et al. (2015) and the one of Duncan et al. (2016). Our result shows an interesting identity between projections on some particular subspaces in different Sobolev-spaces.

Keywords: Non-reversible diffusion; Spectral measure; Fast incompressible drift; Asymptotic variance (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2020.108748

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