On averaging principle for diffusion processes with null-recurrent fast component |
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Affiliation: | 1. Department of Mathematics, Wayne State University, Detroit, MI 48202, USA;2. School of Mathematics, University of Minnesota, Minneapolis, MN 55455, USA |
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Abstract: | An averaging principle is proved for diffusion processes of type (Xε(t),Yε(t)) with null-recurrent fast component Xε(t). In contrast with positive recurrent setting, the slow component Yε(t) alone cannot be approximated by diffusion processes. However, one can approximate the pair (Xε(t),Yε(t)) by a Markov diffusion with coefficients averaged in some sense. |
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