English

Averaging of semigroups associated to diffusion processes on a simplex

Probability 2022-05-19 v2

Abstract

We study the averaging of a diffusion process living in a simplex KK of Rn\mathbb R^n, n1n\ge 1. We assume that its infinitesimal generator can be decomposed as a sum of two generators corresponding to two distinct timescales and that the one corresponding to the fastest timescale is pure noise with a diffusion coefficient vanishing exactly on the vertices of KK. We show that this diffusion process averages to a pure jump Markov process living on the vertices of KK for the Meyer-Zheng topology. The role of the geometric assumptions done on KK is also discussed.

Keywords

Cite

@article{arxiv.2111.07310,
  title  = {Averaging of semigroups associated to diffusion processes on a simplex},
  author = {Dimitri Faure},
  journal= {arXiv preprint arXiv:2111.07310},
  year   = {2022}
}

Comments

46 pages, two figures. v1: Preliminary version. v2: Typos corrected, accepted for publication version

R2 v1 2026-06-24T07:37:42.432Z