Convergence of Time Changed Skew Product Diffusion Processes

A limit theorem for the time changed skew product diffusion processes is investigated. Skew product diffusion processes are given by one dimensional diffusion processes and the spherical Brownian motion, and the time change is based on a positive continuous additive functional. It is shown that the limit process is corresponding to Dirichlet form of non-local type according to degeneracy of the limit measure of underlying ones. Some examples of limit processes are given which lead us to Dirichlet forms with diffusion term, jump term and killing term.     

Time endogeneity and an optimal weight function in pre-averaging covariance estimation

We establish a central limit theorem for a class of pre-averaging covariance estimators in a general endogenous time setting. In particular, we show that the time endogeneity has no impact on the asymptotic distribution if certain functionals of observation times are asymptotically well-defined. This contrasts with the case of the realized volatility in a pure diffusion setting. We also discuss an optimal choice of the weight function in the pre-averaging.     

On Dynamical Systems Perturbed by a Null-Recurrent Fast Motion: The Continuous Coefficient Case with Independent Driving Noises

An ordinary differential equation perturbed by a null-recurrent diffusion will be considered in the case where the averaging type perturbation is strong only when a fast motion is close to the origin. The normal deviations of these solutions from the averaged motion are studied, and a central limit type theorem is proved. The limit process satisfies a linear equation driven by a Brownian motion time changed by the local time of the fast motion.     

On non-degenerate quasi-linear stochastic partial differential equations

We prove a limit theorem for non-degenerate quasi-linear parabolic SPDEs driven by space-time white noise in one space-dimension, when the diffusion coefficient is Lipschitz continuous and the nonlinear drift term is only measurable. Hence we obtain an existence and uniqueness and a comparison theorem, which generalize those in [2], [4], [5] to the case of non-degenerate SPDEs with measurable drift and Lipschitz continuous diffusion coefficients.Research supported by the Hungarian National Foundation of Scientific Research No. 2290.     

Diffusion approximation of systems with repeated calls and an unreliable server

We consider single-server queueing systems with repeated calls and an unreliable server, which may fail both when free and when busy. A central limit theorem and a diffusion approximation theorem are obtained for the queue as a time-dependent process in the case of a low rate of repeated calls.Kiev University. Translated from Vychislitel'naya i Prikladnaya Matematika, No. 74, pp. 78–80, 1992;     

The hydrodynamic limit for the reaction diffusion equation — An approach in terms of the GPV method

We study the hydrodynamic limit of the reaction diffusion process by means of the GPV technique (Guoet al. ⁽⁴⁾). To this end, we first derivea priori bounds on the moments of the occupation numbers using the local central limit theorem and results of stochastic analysis. The result of De Masi and Presutti⁽²⁾ for the hydrodynamic limit of the reaction diffusion process is generalized here.     

A limit theorem for particle numbers in bounded domains of a branching diffusion process

We shall study the asymptotic behavior of the particle numbers in bounded domains of a binary splitting one-dimensional branching diffusion process. We shall give a Yaglom type limit theorem in the so-called locally subcritical case, and almost sure convergence of the normalized particle number in the locally supercritical case.     

The critical measure diffusion process

Summary A multiplicative stochastic measure diffusion process is the continuous analogue of an infinite particle branching diffusion process. In this paper the limiting behavior of the critical measure diffusion process is investigated. Conditions are found under which a non-trivial steady state random measure exists and in this case a spatial central limit theorem is established.Supported in part by the National Research Council of Canada.     

Weakly interacting particle systems on inhomogeneous random graphs

We consider weakly interacting diffusions on time varying random graphs. The system consists of a large number of nodes in which the state of each node is governed by a diffusion process that is influenced by the neighboring nodes. The collection of neighbors of a given node changes dynamically over time and is determined through a time evolving random graph process. A law of large numbers and a propagation of chaos result is established for a multi-type population setting where at each instant the interaction between nodes is given by an inhomogeneous random graph which may change over time. This result covers the setting in which the edge probabilities between any two nodes are allowed to decay to 0 as the size of the system grows. A central limit theorem is established for the single-type population case under stronger conditions on the edge probability function.     

Estimates of the Nash–Aronson type for degenerating parabolic equations

We consider second-order parabolic equations describing diffusion with degeneration and diffusion on singular and combined structures. We give a united definition of a solution of the Cauchy problem for such equations by means of semigroup theory in the space L ₂ with a suitable measure. We establish some weight estimates for solutions of Cauchy problems. Estimates of Nash–Aronson type for the fundamental solution follow from them. We plan to apply these estimates to known asymptotic diffusion problems, namely, to the stabilization of solutions and to the “central limit theorem.”     

Parametric estimation for a simple branching diffusion process

A simple branching diffusion process is given as an elementary model of spatial evolution. A parametric estimation theory is presented for this model. As side results, a spatial central limit theorem and spatial strong law of large numbers are also obtained.     

Symmetric random walk in random environment in one dimension

We give a new proof of the central limit theorem for one dimensional symmetric random walk in random environment. The proof is quite elementary and natural. We show the convergence of the generators and from this we conclude the convergence of the process. We also investigate the hydrodynamic limit (HDL) of one dimensional symmetric simple exclusion in random environment and prove stochastic convergence of the scaled density field. The macroscopic behaviour of this field is given by a linear heat equation. The diffusion coefficient is the same as that of the corresponding random walk. This revised version was published online in June 2006 with corrections to the Cover Date.     

Some scaled limit theorems for an immigration super-Brownian motion

In this paper,the small time limit behaviors for an immigration super-Brownian motion are studied,where the immigration is determined by Lebesgue measure.We first prove a functional central limit theorem,and then study the large and moderate deviations associated with this central tendency.     

A Functional Non-Central Limit Theorem for Jump-Diffusions with Periodic Coefficients Driven by Stable Lévy-Noise

We prove a functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Lévy-processes with stability index α>1. The limit process turns out to be an α-stable Lévy process with an averaged jump-measure. Unlike in the situation where the diffusion is driven by Brownian motion, there is no drift related enhancement of diffusivity.     

Weighted Limit Theorems for Continuous-Time Vector Martingales with Explosive and Mixed Growth

In this article, we establish the almost-sure central limit theorem (ASCLT) for a quasi-left continuous vector martingale with explosive and mixed (regular and explosive) growth. We also prove a quadratic extension and establish several new central limit theorems associated with the obtained ASCLT. Finally, we study the problem of parameter estimation in the particular case of multidimensional diffusion processes, which illustrates in a concrete manner the use of our results.     

On the weak convergence of Wright-Fisher model

We prove that the sequence of stochastic processes obtained from Wright-Fisher models by transforming the time scales and state spaces in the usual way converges weakly to a diffusion process on the time interval [0,∞). Convergence of fixation probabilities and fixation time distributions are obtained as corollaries. These results extend a theorem of Watterson, who proved convergence in distribution to a diffusion at any given single time point for these processes.     

Recurrence and ergodicity of diffusions

This article attempts to lay a proper foundation for studying asymptotic properties of nonhomogeneous diffusions, extends earlier criteria for transience, recurrence, and positive recurrence, and provides sufficient conditions for the weak convergence of a shifted nonhomogeneous diffusion to a limiting stationary homogenous diffusion. A functional central limit theorem is proved for the class of positive recurrent homogeneous diffusions. Upper and lower functions for positive recurrent nonhomogeneous diffusions are also studied.     

Note on the stability of reaction–diffusion systems with delays by Lyapunov functional

This paper aims to investigate the stability of reaction–diffusion equations with delays. We extend a stability theorem on FDEs introduced by Hale to reaction–diffusion equations with time delay.     

Analysis of Caughley model with diffusion from mathematical ecology

We provide an analysis in function spaces of the nonlinear semigroup generated by the Caughley model with varied diffusion from mathematical ecology. The global long time asymptotic dynamics of the system of equations are well posed in the sense of an attractor. The behaviour of this attractor in small diffusion coefficients is studied. Two limit problems depending on the stability of the spatial domain in diffusion coefficients are obtained. An adequate scaling of the space variable yields a diffusion coefficients dependent spatial domain. The limit model equations are defined in the complete space of the domain and its diffusion coefficients are unitary. If the domain does not change with the diffusion coefficients, we obtain as a limit problem the system of equations with zero diffusion coefficients and no boundary conditions. The family of attractors in small diffusion coefficients is proved in the Hausdroff semidistance of sets to converge in the uniform topology of continuous functions.     

The effect of turbulence on mixing in prototype reaction‐diffusion systems

The effect of turbulence on mixing in prototype reaction‐diffusion systems is analyzed here in the special situation where the turbulence is modeled ideally with two separated scales consisting of a large‐scale mean flow plus a small‐scale spatiotemporal periodic flow. In the limit of fast reaction and slow diffusion, it is rigorously proved that the turbulence does not contribute to the location of the mixing zone in the limit and that this mixing zone location is determined solely by advection of the large‐scale velocity field. This surprising result contrasts strongly with earlier work of the authors that always yields a large‐scale propagation speed enhanced by small‐scale turbulence for propagating fronts. The mathematical reasons for these differences are pointed out. This main theorem rigorously justifies the limit equilibrium approximations utilized in non‐premixed turbulent diffusion flames and condensation‐evaporation modeling in cloud physics in the fast reaction limit. The subtle nature of this result is emphasized by explicit examples presented in the fast reaction and zero‐diffusion limit with a nontrivial effect of turbulence on mixing in the limit. The situation with slow reaction and slow diffusion is also studied in the present work. Here the strong stirring by turbulence before significant reaction occurs necessarily leads to a homogenized limit with the strong mixing effects of turbulence expressed by a rigorous turbulent diffusivity modifying the reaction‐diffusion equations. Physical examples from non‐premixed turbulent combustion and cloud microphysics modeling are utilized throughout the paper to motivate and interpret the mathematical results. © 2000 John Wiley & Sons, Inc.