On Poisson equation and diffusion approximation 2
نویسندگان
چکیده
منابع مشابه
On the Poisson Equation and Diffusion Approximation
A Poisson equation in d for the elliptic operator corresponding to an ergodic diffusion process is considered. Existence and uniqueness of its solution in Sobolev classes of functions is established along with the bounds for its growth. This result is used to study a diffusion approximation for two-scaled diffusion processes using the method of corrector; the solution of a Poisson equation serv...
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i=1 pi ≤ max 1≤i≤n pi, (6.1) where λ := EW = ∑n i=1 pi. Clearly, if the pi’s are not all small, there may be little content in (6.1). This is to be expected, since then EW = λ and VarW = λ − ∑n i=1 p 2 i need no longer be close to one another, whereas Poisson distributions have equal mean and variance. This makes it more natural to try to find a family of distributions for the approximation wit...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2003
ISSN: 0091-1798
DOI: 10.1214/aop/1055425774