English

Diffusion in random environment and the renewal theorem

Probability 2007-05-23 v2

Abstract

According to a theorem of S. Schumacher and T. Brox, for a diffusion XX in a Brownian environment it holds that (Xtblogt)/log2t0(X_t-b_{\log t})/\log^2t\to 0 in probability, as tt\to\infty, where bb_{\cdot} is a stochastic process having an explicit description and depending only on the environment. We compute the distribution of the number of sign changes for bb on an interval [1,x][1,x] and study some of the consequences of the computation; in particular we get the probability of bb keeping the same sign on that interval. These results have been announced in 1999 in a non-rigorous paper by P. Le Doussal, C. Monthus, and D. Fisher and were treated with a Renormalization Group analysis. We prove that this analysis can be made rigorous using a path decomposition for the Brownian environment and renewal theory. Finally, we comment on the information these results give about the behavior of the diffusion.

Keywords

Cite

@article{arxiv.math/0310306,
  title  = {Diffusion in random environment and the renewal theorem},
  author = {Dimitrios Cheliotis},
  journal= {arXiv preprint arXiv:math/0310306},
  year   = {2007}
}

Comments

18 pages, 3 figures