Tightness problem and stochastic evolution equation arising from fluctuation phenomena for interacting diffusions

The central limit (or fluctuation) phenomena are discussed in the interacting diffusion system. The tightness in the Kolmogorov-Prokhorov sense is proved for a sequence of distribution valued processes arising from finite particle systems. Further, the stochastic differential equation for the limit process is derived by constructing an infinite dimensional Brownian motion.

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Year of publication:	1986
Authors:	Hitsuda, Masuyuki ; Mitoma, Itaru
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 19.1986, 2, p. 311-328
Publisher:	Elsevier
Keywords:	central limit theorem fluctuation interacting diffusion system infinite dimensional process

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

Persistent link: https://www.econbiz.de/10005160561