On the Poisson equation and diffusion approximation 3 论文
2005The Annals of Probability引用 225
Stochastic processes and financial applicationsAdvanced Mathematical Modeling in EngineeringStochastic processes and statistical mechanics
摘要
We study the Poisson equation Lu+f=0 in ℝd, where L is the infinitesimal generator of a diffusion process. In this paper, we allow the second-order part of the generator L to be degenerate, provided a local condition of Doeblin type is satisfied, so that, if we also assume a condition on the drift which implies recurrence, the diffusion process is ergodic. The equation is understood in a weak sense. Our results are then applied to diffusion approximation.