IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v127y2017i6p1960-1997.html
   My bibliography  Save this article

On dynamical systems perturbed by a null-recurrent motion: The general case

Author

Listed:
  • Pajor-Gyulai, Zs.
  • Salins, M.

Abstract

We consider a perturbed ordinary differential equation where the perturbation is only significant when a one-dimensional null recurrent diffusion is close to zero. We investigate the first order correction to the unperturbed system and prove a central limit theorem type result, i.e., that the normalized deviation process converges in law in the space of continuous functions to a limit process which we identify. We show that this limit process has a component which only moves when the limit of the null-recurrent fast motion equals zero. The set of these times forms a zero-measure Cantor set and therefore the limiting process cannot be described by a standard SDE. We characterize this process by its infinitesimal generator (with appropriate boundary conditions) and we also characterize the process as the weak solution of an SDE that depends on the local time of the fast motion process. We also investigate the long time behavior of such a system when the unperturbed motion is trivial. In this case, we show that the long-time limit is constant on a set of full Lebesgue measure with probability 1, but it has nontrivial drift and diffusion components that move only when the fast motion equals zero.

Suggested Citation

  • Pajor-Gyulai, Zs. & Salins, M., 2017. "On dynamical systems perturbed by a null-recurrent motion: The general case," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1960-1997.
    • Handle: RePEc:eee:spapps:v:127:y:2017:i:6:p:1960-1997
    DOI: 10.1016/j.spa.2016.09.009
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414915300491
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spa.2016.09.009?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Khasminskii, R. & Krylov, N., 2001. "On averaging principle for diffusion processes with null-recurrent fast component," Stochastic Processes and their Applications, Elsevier, vol. 93(2), pages 229-240, June.
    2. Blei, Stefan & Engelbert, Hans-Jürgen, 2013. "One-dimensional stochastic differential equations with generalized and singular drift," Stochastic Processes and their Applications, Elsevier, vol. 123(12), pages 4337-4372.
    3. Krylov, N. V., 2004. "On weak uniqueness for some diffusions with discontinuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 113(1), pages 37-64, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bahlali, Khaled & Elouaflin, Abouo & Pardoux, Etienne, 2017. "Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media," Stochastic Processes and their Applications, Elsevier, vol. 127(4), pages 1321-1353.
    2. Szydlowski, Martin, 2019. "Incentives, project choice, and dynamic multitasking," Theoretical Economics, Econometric Society, vol. 14(3), July.
    3. Étoré, Pierre & Martinez, Miguel, 2018. "Time inhomogeneous Stochastic Differential Equations involving the local time of the unknown process, and associated parabolic operators," Stochastic Processes and their Applications, Elsevier, vol. 128(8), pages 2642-2687.
    4. Hu, Mingshang & Wang, Falei, 2021. "Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 139-171.
    5. Benabdallah Mohsine & Hiderah Kamal, 2018. "Strong rate of convergence for the Euler–Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero," Monte Carlo Methods and Applications, De Gruyter, vol. 24(4), pages 249-262, December.
    6. Marino, L. & Menozzi, S., 2023. "Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 106-170.
    7. Krylov, N. V. & Liptser, R., 2002. "On diffusion approximation with discontinuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 102(2), pages 235-264, December.
    8. Krylov, N. V., 2004. "On weak uniqueness for some diffusions with discontinuous coefficients," Stochastic Processes and their Applications, Elsevier, vol. 113(1), pages 37-64, September.
    9. Bachmann, Stefan, 2020. "On the strong Feller property for stochastic delay differential equations with singular drift," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 4563-4592.
    10. Zsolt Pajor-Gyulai & Michael Salins, 2016. "On Dynamical Systems Perturbed by a Null-Recurrent Fast Motion: The Continuous Coefficient Case with Independent Driving Noises," Journal of Theoretical Probability, Springer, vol. 29(3), pages 1083-1099, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:127:y:2017:i:6:p:1960-1997. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.