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September 2004 A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems
Thomas G. Kurtz, Jie Xiong
Commun. Math. Sci. 2(3): 325-358 (September 2004).

Abstract

In an earlier paper, we studied the approximation of solutions V(t) to a class of SPDEs by the empirical measure Vn(t) of a system of n interacting diffusions. In the present paper, we consider a central limit type problem, showing that \sqrt{n}(Vn-V )n converges weakly, in the dual of a nuclear space, to the unique solution of a stochastic evolution equation. Analogous results in which the di.usions that determine Vn are replaced by their Euler approximations are also discussed.

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Thomas G. Kurtz. Jie Xiong. "A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems." Commun. Math. Sci. 2 (3) 325 - 358, September 2004.

Information

Published: September 2004
First available in Project Euclid: 3 March 2005

zbMATH: 1087.60050
MathSciNet: MR2118848

Rights: Copyright © 2004 International Press of Boston

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Vol.2 • No. 3 • September 2004
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