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

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.

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Year of publication:	2001
Authors:	Khasminskii, R. ; Krylov, N.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 93.2001, 2, p. 229-240
Publisher:	Elsevier
Keywords:	Averaging principle Null-recurrent diffusion Arcsine law Homogenization

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873580