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 of , . 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 . We show that this diffusion process averages to a pure jump Markov process living on the vertices of for the Meyer-Zheng topology. The role of the geometric assumptions done on 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