Central limit theorem for solutions of random initialized differential equations a simple proof英文文献资料.docVIP

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Central limit theorem for solutions of random initialized differential equations a simple proof英文文献资料.doc

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Central limit theorem for solutions of random initialized differential equations a simple proof英文文献资料

CENTRALLIMITTHEOREMFORSOLUTIONSOFRANDOM INITIALIZEDDIFFERENTIALEQUATIONS:ASIMPLEPROOF ILEANAIRIBARRENANDJOSE′ R.LEON ′ Received13November2004;Revised12May2005;Accepted13May2005 Westudythecentralandnoncentrallimittheoremsfortheconvolutionofacertainkernel hwithF(ξ(·)),whereξisastationaryGaussianprocessandFisasquareintegrablefunc- tionwithrespecttothestandardGaussianmeasure.Ourmethodconsistsinshowingthat intheweakdependencecase,wecanusetheLindebergmethod,approachingtheinitial Gaussianprocessbyanm-dependentprocess.Wecouldsaythatonlyvariancecomputa- tionsareneededtogetthetwotypesoflimits.Thenweapplytheobtainedresultstothe solutionsofthecertaindi?erentialequations. Copyright?2006I.IribarrenandJ.R.Leo′n. This is an open access article distributed undertheCreativeCommons Attribution License,whichpermits unrestricted use,dis- tribution,andreproductioninanymedium,providedtheoriginalworkisproperlycited. 1.Introduction Inthiswork,weuseanm-dependent approximation toobtaintheasymptotic behavior ast→∞ofthesolutionofseveraldi?erentialequations, withrandominitialcondition F(ξ(x)),whereξisastationary Gaussianprocess.Asusual,thisbehaviordependsheav- ilyontheintegrability condition ofthecovariance function oftheprocessξ.Themain noveltyofourapproachisthatwedonotusethemethodofmoments,avoidinglengthy calculations. Weonlyneed, viathem-dependent approximation, L2 computations and aslightgeneralization oftheHoe?ding-Robbins theorem[9]form-dependent random variables. The problem issettled inageneral framework, considering theclass ofpro- cessesthatcanbewrittenastheconvolutionofacertainkernelh(t,x)withF(ξ(x)). Wecanjustifyourstudythroughthreebasicexamples.FirstweconsidertheBurgers’ equation withrandominitialcondition,alsoknownintheliteratureasBurgers’turbu- lence(seeSection6.1forde?nitionandproperties),thentheequation ?u 1?4u ?t =?2?x4 (1.1) HindawiPublishingCorporation JournalofAppliedMathematicsandStochasticAnalysis Volume2006,ArticleID35206,Pages1–20 DOI10.1155/JAMSA