Asymptotic behaviour for a time-inhomogeneous Kolmogorov type diffusion
Probability
2022-03-21 v5
Abstract
We study a kinetic stochastic model with a non-linear time-inhomogeneous drag force and a Brownian-type random force. More precisely, the Kolmogorov type diffusion is considered: here is the position of the particle and is its velocity and is solution of a stochastic differential equation driven by a one-dimensional Brownian motion, with the drift of the form . The function satisfies some homogeneity condition and is positive. The behaviour of the process in large time is proved by using stochastic analysis tools.
Cite
@article{arxiv.2004.11576,
title = {Asymptotic behaviour for a time-inhomogeneous Kolmogorov type diffusion},
author = {Mihai Gradinaru and Emeline Luirard},
journal= {arXiv preprint arXiv:2004.11576},
year = {2022}
}