Tightness problem and stochastic evolution equation arising from fluctuation phenomena for interacting diffusions

Abstract

The central limit (or fluctuation) phenomena are discussed in the interacting diffusion system. The tightness in the Kolmogorov-Prokhorov sense is proved for a sequence of distribution valued processes arising from finite particle systems. Further, the stochastic differential equation for the limit process is derived by constructing an infinite dimensional Brownian motion.central limit theorem fluctuation interacting diffusion system infinite dimensional process

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    Last time updated on 06/07/2012