Diffusion in random environment and the renewal theorem

Details Diffusion in random environment and the renewal theorem Diffusion in random environment and the renewal theorem

2003-10-20

arxiv.org/abs/math/0310306v2

Mathematics

Probability

18 pages, 3 figures

Scientific paper

According to a theorem of S. Schumacher and T. Brox, for a diffusion $X$ in a Brownian environment it holds that $(X_t-b_{\log t})/\log^2t\to 0 $ in probability, as $t\to\infty$, where $b_{\cdot}$ is a stochastic process having an explicit description and depending only on the environment. We compute the distribution of the number of sign changes for $b$ on an interval $[1,x]$ and study some of the consequences of the computation; in particular we get the probability of $b$ keeping the same sign on that interval. These results have been announced in 1999 in a non-rigorous paper by P. Le Doussal, C. Monthus, and D. Fisher and were treated with a Renormalization Group analysis. We prove that this analysis can be made rigorous using a path decomposition for the Brownian environment and renewal theory. Finally, we comment on the information these results give about the behavior of the diffusion.

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