Quantcast

On the Poisson equation and diffusion approximation 3

Research paper by E. Pardoux, A. Yu. Veretennikov

Indexed on: 29 Jun '05Published on: 29 Jun '05Published in: Mathematics - Probability



Abstract

We study the Poisson equation Lu+f=0 in R^d, where L is the infinitesimal generator of a diffusion process. In this paper, we allow the second-order part of the generator L to be degenerate, provided a local condition of Doeblin type is satisfied, so that, if we also assume a condition on the drift which implies recurrence, the diffusion process is ergodic. The equation is understood in a weak sense. Our results are then applied to diffusion approximation.