A Poisson equation in $\mathbb{R}^d$ for the elliptic operator
corresponding to an ergodic diffusion process is considered. Existence and
uniqueness of its solution in Sobolev classes of functions is established along
with the bounds for its growth. This result is used to study a diffusion
approximation for two-scaled diffusion processes usingthe method of corrector;
the solution of a Poisson equation serves as a corrector.
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LATP, UMR-CNRS 6632 Centre de Math´ematiques et d'Informatique Universit´e de Provence 39, rue F. Joliot Curie 13453 Marseille cedex 13 France E-mail: pardoux@cmi.univ-mrs.fr Institute of Information Transmission Problems 19, Bolshoy Karetnii 101447 Moscow Russia E-mail: veretenn@iitp.ru