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Homogenization of Ornstein-Uhlenbeck Process in Random Environment
Authors:Gaël Benabou
Affiliation:(1) Ceremade, UMR CNRS 7534, Université Paris IX - Dauphine, Place du Maréchal de Lattre de Tassigny, 75775 Paris Cedex 16, France
Abstract:We consider a tracer particle moving in a random environment. The velocity of the tracer is modelled by an Ornstein-Uhlenbeck process which takes into account inertia and friction. The medium results in a possibly unbounded random potential. We prove an invariance principle for this kind of motion. The method used is generalized in order to obtain a central limit theorem for a large class of process, the most interesting application being a tagged particle in a medium of infinitely many Ornstein-Uhlenbeck particles.
Keywords:
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