The Annals of Probability

Transience/Recurrence and Central Limit Theorem Behavior for Diffusions in Random Temporal Environments

Mark Pinsky and Ross G. Pinsky

Full-text: Open access

Abstract

Let $\sigma(t)$ be an ergodic Markov chain on a finite state space $E$ and for each $\sigma \in E$, define on $\mathbb{R}^d$ the second-order elliptic operator $L_\sigma = \frac{1}{2} \sum^d_{i,j = 1} a_{ij}(x; \sigma)\frac{\partial^2}{\partial x_i\partial x_j} + \sum^d_{i = 1} b_i(x;\sigma)\frac{\partial}{\partial x_i}.$ Then for each realization $\sigma(t) = \sigma(t, \omega)$ of the Markov chain, $L_{\sigma(t)}$ may be thought of as a time-inhomogeneous diffusion generator. We call such a process a diffusion in a random temporal environment or simply a random diffusion. We study the transience and recurrence properties and the central limit theorem properties for a class of random diffusions. We also give applications to the stabilization and homogenization of the Cauchy problem for random parabolic operators.

Article information

Source
Ann. Probab., Volume 21, Number 1 (1993), 433-452.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176989410

Digital Object Identifier
doi:10.1214/aop/1176989410

Mathematical Reviews number (MathSciNet)
MR1207232

Zentralblatt MATH identifier
0773.60076

JSTOR
links.jstor.org

Subjects
Primary: 60J60: Diffusion processes [See also 58J65]
Secondary: 60H25: Random operators and equations [See also 47B80]

Keywords
Diffusion processes random environment transience and recurrence central limit theorem random parabolic operators

Citation

Pinsky, Mark; Pinsky, Ross G. Transience/Recurrence and Central Limit Theorem Behavior for Diffusions in Random Temporal Environments. Ann. Probab. 21 (1993), no. 1, 433--452. doi:10.1214/aop/1176989410. https://projecteuclid.org/euclid.aop/1176989410


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