Open Access
October 2003 Anomalous slow diffusion from perpetual homogenization
Houman Owhadi
Ann. Probab. 31(4): 1935-1969 (October 2003). DOI: 10.1214/aop/1068646372
Abstract

This paper is concerned with the asymptotic behavior of solutions of stochastic differential equations $dy_t=d\omega_t -\nabla V(y_t)\, dt$, $y_0=0$. When $d=1$ and V is not periodic but obtained as a superposition of an infinite number of periodic potentials with geometrically increasing periods [$V(x) = \sum_{k=0}^\infty U_k(x/R_k)$, where $U_k$ are smooth functions of period 1, $U_k(0)=0$, and $R_k$ grows exponentially fast with k] we can show that $y_t$ has an anomalous slow behavior and we obtain quantitative estimates on the anomaly using and developing the tools of homogenization. Pointwise estimates are based on a new analytical inequality for subharmonic functions. When $d\geq 1$ and V is periodic, quantitative estimates are obtained on the heat kernel of $y_t$, showing the rate at which homogenization takes place. The latter result proves Davies' conjecture and is based on a quantitative estimate for the Laplace transform of martingales that can be used to obtain similar results for periodic elliptic generators.

References

1.

Allaire, G. and Briane, M. (1996). Multiscale convergence and reiterated homogenization. Proc. Roy. Soc. Edinburgh Sec. A 126 297--342. MR1386865 Allaire, G. and Briane, M. (1996). Multiscale convergence and reiterated homogenization. Proc. Roy. Soc. Edinburgh Sec. A 126 297--342. MR1386865

2.

Ancona, A. (1997). First eigenvalues and comparison of Green's functions for elliptic operators on manifolds or domains. J. d'Analyse Math. 72 45--91. MR1482989 Ancona, A. (1997). First eigenvalues and comparison of Green's functions for elliptic operators on manifolds or domains. J. d'Analyse Math. 72 45--91. MR1482989

3.

Avellaneda, M. (1987). Iterated homogenization, differential effective medium theory and applications. Comm. Pure Appl. Math. XL 527--554. MR896766 Avellaneda, M. (1987). Iterated homogenization, differential effective medium theory and applications. Comm. Pure Appl. Math. XL 527--554. MR896766

4.

Avellaneda, M. (1996). Homogenization and renormalization, the mathematics of multi-scale random media and turbulent diffusion. In Dynamical Systems and Probabilistic Methods in Partial Differential Equations (P. Deift, C. D. Levermore and C. E. Wayne, eds.) 251--268. Amer. Math. Soc., Providence, RI. MR1363032 0834.76037 Avellaneda, M. (1996). Homogenization and renormalization, the mathematics of multi-scale random media and turbulent diffusion. In Dynamical Systems and Probabilistic Methods in Partial Differential Equations (P. Deift, C. D. Levermore and C. E. Wayne, eds.) 251--268. Amer. Math. Soc., Providence, RI. MR1363032 0834.76037

5.

Avellaneda, M. and Majda, A. (1990). Mathematical models with exact renormalization for turbulent transport. Comm. Math. Phys. 131 381--429. MR1065678 10.1007/BF02161420 Avellaneda, M. and Majda, A. (1990). Mathematical models with exact renormalization for turbulent transport. Comm. Math. Phys. 131 381--429. MR1065678 10.1007/BF02161420

6.

Barlow, M. T. (1998). Diffusions on Fractals. Lectures on Probability Theory and Statistics. Lecture Notes in Math. 1781 1--121. Springer, New York. MR1668115 0916.60069 Barlow, M. T. (1998). Diffusions on Fractals. Lectures on Probability Theory and Statistics. Lecture Notes in Math. 1781 1--121. Springer, New York. MR1668115 0916.60069

7.

Barlow, M. T. and Bass, R. F. (1999). Brownian motion and harmonic analysis on Sierpinski carpets. Canad. J. Math. 54 673--744. MR1701339 Barlow, M. T. and Bass, R. F. (1999). Brownian motion and harmonic analysis on Sierpinski carpets. Canad. J. Math. 54 673--744. MR1701339

8.

Ben Arous, G. and Owhadi, H. (2001). Multi-scale homogenization with bounded ratios and anomalous slow diffusion. Unpublished manuscript. Preprint available at www.cmi.univ-mrs.fr/~owhadi/. Ben Arous, G. and Owhadi, H. (2001). Multi-scale homogenization with bounded ratios and anomalous slow diffusion. Unpublished manuscript. Preprint available at www.cmi.univ-mrs.fr/~owhadi/.

9.

Ben Arous, G. and Owhadi, H. (2002). Super-diffusivity in a shear flow model from perpetual homogenization. Comm. Math. Phys. 227 281--302. MR1903647 10.1007/s002200200640 1065.76109 Ben Arous, G. and Owhadi, H. (2002). Super-diffusivity in a shear flow model from perpetual homogenization. Comm. Math. Phys. 227 281--302. MR1903647 10.1007/s002200200640 1065.76109

10.

Bhattacharya, R. (1999). Multiscale diffusion processes with periodic coefficients and an application to solute transport in porous media. Ann. Appl. Probab. 9 951--1020. MR1727912 10.1214/aoap/1029962863 euclid.aoap/1029962863 0956.60080 Bhattacharya, R. (1999). Multiscale diffusion processes with periodic coefficients and an application to solute transport in porous media. Ann. Appl. Probab. 9 951--1020. MR1727912 10.1214/aoap/1029962863 euclid.aoap/1029962863 0956.60080

11.

Bruggerman, D. A. G. (1935). Berechnung verschiedener physkalisher konstanten von heterogenen substanzen. Ann. Phys. 24 634. Bruggerman, D. A. G. (1935). Berechnung verschiedener physkalisher konstanten von heterogenen substanzen. Ann. Phys. 24 634.

12.

Chen, Z. Q., Qian, Z., Hu, Y. and Zheng, W. (1998). Stability and approximations od symmetric diffusion semigroups and kernels. J. Funct. Anal. 152 255--280. MR1600084 10.1006/jfan.1997.3147 0907.47036 Chen, Z. Q., Qian, Z., Hu, Y. and Zheng, W. (1998). Stability and approximations od symmetric diffusion semigroups and kernels. J. Funct. Anal. 152 255--280. MR1600084 10.1006/jfan.1997.3147 0907.47036

13.

Davies, E. B. (1993). Heat kernels in one dimension. Quart. J. Math. Oxford 44 283--299. MR1240472 Davies, E. B. (1993). Heat kernels in one dimension. Quart. J. Math. Oxford 44 283--299. MR1240472

14.

Dembo, A. (1996). Moderate deviations for martingales with bounded jumps. Electron. Comm. Probab. 1 11--17 (electronic). MR1386290 Dembo, A. (1996). Moderate deviations for martingales with bounded jumps. Electron. Comm. Probab. 1 11--17 (electronic). MR1386290

15.

Ellis, R. S. (1985). Entropy, Large Deviations, and Statistical Mechanics. Springer, New York. MR793553 0566.60097 Ellis, R. S. (1985). Entropy, Large Deviations, and Statistical Mechanics. Springer, New York. MR793553 0566.60097

16.

Fannjiang, A. and Komorowski, T. (2000). Fractional Brownian motion limit for motions in turbulence. Ann. Appl. Probab. 10 1100--1120. MR1810866 euclid.aoap/1019487608 Fannjiang, A. and Komorowski, T. (2000). Fractional Brownian motion limit for motions in turbulence. Ann. Appl. Probab. 10 1100--1120. MR1810866 euclid.aoap/1019487608

17.

Fannjiang, A. and Papanicolaou, G. C. (1994). Convection enhanced diffusion for periodic flows. SIAM J. Appl. Math. 54 333--408. MR1265233 10.1137/S0036139992236785 0796.76084 Fannjiang, A. and Papanicolaou, G. C. (1994). Convection enhanced diffusion for periodic flows. SIAM J. Appl. Math. 54 333--408. MR1265233 10.1137/S0036139992236785 0796.76084

18.

Garland, J. C. and Tanner, D. B. (1977). AIP Conference Proceedings. Amer. Inst. Phys., New York. Garland, J. C. and Tanner, D. B. (1977). AIP Conference Proceedings. Amer. Inst. Phys., New York.

19.

Gilbarg, D. and Trudinger, N. S. (1983). Elliptic Partial Differential Equations of Second Order, 2nd ed. Springer, New York. MR737190 0562.35001 Gilbarg, D. and Trudinger, N. S. (1983). Elliptic Partial Differential Equations of Second Order, 2nd ed. Springer, New York. MR737190 0562.35001

20.

Glimm, J. and Zhang, Q. (1992). Inertial range scaling of laminar shear flow as a model of turbulent transport. Comm. Math. Phys. 146 217--229. MR1165180 10.1007/BF02102625 0749.76031 Glimm, J. and Zhang, Q. (1992). Inertial range scaling of laminar shear flow as a model of turbulent transport. Comm. Math. Phys. 146 217--229. MR1165180 10.1007/BF02102625 0749.76031

21.

Grüter, M. and Widman, K.-O. (1982). The Green function for uniformly elliptic equations. Manuscripta Math. 37 303--342. MR657523 10.1007/BF01166225 0485.35031 Grüter, M. and Widman, K.-O. (1982). The Green function for uniformly elliptic equations. Manuscripta Math. 37 303--342. MR657523 10.1007/BF01166225 0485.35031

22.

Hambly, B. M., Kumagai, T., Kusuoka, S. and Zhou, X. Y. (1998). Transition density estimates for diffusion processes on homogeneous random Sierpinski carpets. Preprint. MR1742797 Hambly, B. M., Kumagai, T., Kusuoka, S. and Zhou, X. Y. (1998). Transition density estimates for diffusion processes on homogeneous random Sierpinski carpets. Preprint. MR1742797

23.

Jikov, V. V. and Kozlov, S. M. (1999). Multiscaled homogenization. In Homogenization: Serguei Kozlov Memorial Volume (V. Berdichevsky, V. Jikov and G. Papanicolaou, eds.) 35--64. World Scientific, Singapore. MR1792683 1041.35010 Jikov, V. V. and Kozlov, S. M. (1999). Multiscaled homogenization. In Homogenization: Serguei Kozlov Memorial Volume (V. Berdichevsky, V. Jikov and G. Papanicolaou, eds.) 35--64. World Scientific, Singapore. MR1792683 1041.35010

24.

Keller, G. (1998). Equilibrium States in Ergodic Theory. Cambridge Univ. Press. MR1618769 0896.28006 Keller, G. (1998). Equilibrium States in Ergodic Theory. Cambridge Univ. Press. MR1618769 0896.28006

25.

Kozlov, S. (1995). Multiscaled approach in homogenization. In Proceeding of the Second Workshop on Composite Media and Homogenization Theory 217--229. World Scientific, Singapore. MR1798387 Kozlov, S. (1995). Multiscaled approach in homogenization. In Proceeding of the Second Workshop on Composite Media and Homogenization Theory 217--229. World Scientific, Singapore. MR1798387

26.

Norris, A. N. (1985). A differential scheme for the effective moduli of composites. Mechanics of Materials 4 1--16. Norris, A. N. (1985). A differential scheme for the effective moduli of composites. Mechanics of Materials 4 1--16.

27.

Norris, J. R. (1997). Long-time behaviour of heat flow: Global estimates and exact asymptotics. Arch. Rational Mech. Anal. 140 161--195. MR1482931 10.1007/s002050050063 0899.35015 Norris, J. R. (1997). Long-time behaviour of heat flow: Global estimates and exact asymptotics. Arch. Rational Mech. Anal. 140 161--195. MR1482931 10.1007/s002050050063 0899.35015

28.

Olla, S. (1994). Homogenization of diffusion processes in random fields. Ecole Polytechnique. Cours Ecole Polytechnique. Olla, S. (1994). Homogenization of diffusion processes in random fields. Ecole Polytechnique. Cours Ecole Polytechnique.

29.

Osada, H. (1995). Self-similar diffusions on a class of infinitely ramified fractals. J. Math. Soc. Japan 47 591--616. MR1348751 Osada, H. (1995). Self-similar diffusions on a class of infinitely ramified fractals. J. Math. Soc. Japan 47 591--616. MR1348751

30.

Owhadi, H. (2001a). Anomalous diffusion and homogenization on an infinite number of scales. Ph.D. dissertation, EPFL, Swiss Federal Institute of Technology. Available at dmawww.epfl.ch/~owhadi/. Owhadi, H. (2001a). Anomalous diffusion and homogenization on an infinite number of scales. Ph.D. dissertation, EPFL, Swiss Federal Institute of Technology. Available at dmawww.epfl.ch/~owhadi/.

31.

Owhadi, H. (2001b). Super-diffusion in turbulence: Kolmogorov Richardson laws versus Landau Lagrangian chaos. To appear. Owhadi, H. (2001b). Super-diffusion in turbulence: Kolmogorov Richardson laws versus Landau Lagrangian chaos. To appear.

32.

Pinchover, Y. (1989). On the equivalence of Green functions of second order elliptic equations in $r^n$. Differential and Integral Equations 5 481--493. MR1157482 Pinchover, Y. (1989). On the equivalence of Green functions of second order elliptic equations in $r^n$. Differential and Integral Equations 5 481--493. MR1157482

33.

Richardson, L. F. (1926). Atmosphere diffusion shown on a distance-neighbour graph. Proc. Roy. Soc. London Ser. A 110 709. Richardson, L. F. (1926). Atmosphere diffusion shown on a distance-neighbour graph. Proc. Roy. Soc. London Ser. A 110 709.

34.

Ruelle, D. (1978). Thermodynamic Formalism: The Mathematical Structures of Classical Equilibrium Statistical Mechanics. Addison-Wesley, Reading, MA. MR511655 0401.28016 Ruelle, D. (1978). Thermodynamic Formalism: The Mathematical Structures of Classical Equilibrium Statistical Mechanics. Addison-Wesley, Reading, MA. MR511655 0401.28016

35.

Seignourel, P. (1998). Processus dans un milieu irregulier. Une approche par les formes de Dirichlet. Preprint, Ecole Polytechnique, France. Seignourel, P. (1998). Processus dans un milieu irregulier. Une approche par les formes de Dirichlet. Preprint, Ecole Polytechnique, France.

36.

Sen, P. N., Scala, C. and Cohen, M. H. (1981). Geophysics 46 781. Sen, P. N., Scala, C. and Cohen, M. H. (1981). Geophysics 46 781.

37.

Stampacchia, G. (1965). Le problème de Dirichlet pour les équations elliptiques du second ordre à coefficients discontinus. Ann. Inst. Fourier $($Grenoble$)$ 15 189--258. MR192177 Stampacchia, G. (1965). Le problème de Dirichlet pour les équations elliptiques du second ordre à coefficients discontinus. Ann. Inst. Fourier $($Grenoble$)$ 15 189--258. MR192177

38.

Stampacchia, G. (1966). Equations elliptiques du second ordre à coeffici discontinus. Univ. Montréal Press. MR251373 Stampacchia, G. (1966). Equations elliptiques du second ordre à coeffici discontinus. Univ. Montréal Press. MR251373
Copyright © 2003 Institute of Mathematical Statistics
Houman Owhadi "Anomalous slow diffusion from perpetual homogenization," The Annals of Probability 31(4), 1935-1969, (October 2003). https://doi.org/10.1214/aop/1068646372
Published: October 2003
Vol.31 • No. 4 • October 2003
Back to Top