A limit theorem for stochastic initial value problems with multiscales

Research output: Contribution to journalArticle

Abstract

In this paper we deal with stochastic initial value problems which have three different scales of variations represented by a small parameter. We obtain a limit theorem of KHASMINSKII type on an asymptotically unbounded interval in a framework based on separable Banach spaces and evolution operators. The expectations of random propagators are approximated by a backward propagator solving a final value problem as the small parameter vanishes. This result can be applied to diffusion effects caused by multiple wave scattering in random media.

Original languageEnglish
Pages (from-to)473-474
Number of pages2
JournalZAMM Zeitschrift fur Angewandte Mathematik und Mechanik
Volume76
Issue numberSUPPL. 3
Publication statusPublished - 1996 Dec 1

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Initial value problems
Banach spaces
Propagator
Limit Theorems
Small Parameter
Initial Value Problem
Mathematical operators
Scattering
Multiple Scattering
Wave Scattering
Random Media
Evolution Operator
Vanish
Banach space
Interval
Framework

All Science Journal Classification (ASJC) codes

  • Computational Mechanics
  • Applied Mathematics

Cite this

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A limit theorem for stochastic initial value problems with multiscales. / Kim, J. H.

In: ZAMM Zeitschrift fur Angewandte Mathematik und Mechanik, Vol. 76, No. SUPPL. 3, 01.12.1996, p. 473-474.

Research output: Contribution to journalArticle

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