On Poisson equation and diffusion approximation 2

• È. Pardoux ^[2] ; A. Yu. Veretennikov ^[1]
  1. [1] University of Leeds

     University of Leeds

     Reino Unido

     
  2. [2] Université de Provence
• Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 31, Nº. 3, 2003, págs. 1166-1192
• Idioma: inglés
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• Resumen

  • Three different results are established which turn out to be closely connected so that the first one implies the second one which in turn implies the third one. The first one states the smoothness of an invariant diffusion density with respect to a parameter. The second establishes a similar smoothness of the solution of the Poisson equation in Rd. The third one states a diffusion approximation result, or in other words an averaging of singularly perturbed diffusion for "fully coupled SDE systems'' or "SDE systems with complete dependence.''