TY - JOUR

T1 - Time-scales for Gaussian approximation and its breakdown under a hierarchy of periodic spatial heterogeneities

AU - Bhattacharya, Rabindra N

AU - Götze, Friedrich

PY - 1995

Y1 - 1995

N2 - The solution of ihe Itô equation dX(t) = b{X(t)}dt + β{X(t)/a)dt + √DdB(t) is analysed for t → ∞, a → ∞. In the range 1 < t < a2/3, X(t) is asymptotically Gaussian if b is periodic, β Lipschitzian; here the large-scale fluctuations may be ignored. In the range t > a2, with both b and β periodic and divergence-free, a integral, Gaussian approximation is again valid under an appropriate hypothesis on the geometry of β here for some coordinates of X(t) the dispersivity. or variance per unit time, mav grow at the extreme rate O(a2) white stabilizing for others. As shown by examples, Gaussian approximation generally breaks down at intermediate lime-scales. These results translate into asymptotics of a class of Fokker-Planck equations which arise in the prediction of contaminant transport in an aquifer under multiple scales of spatial heterogeneity. In particular, contrary to popular belief, the growth in dispersivity is always slower than linear.

AB - The solution of ihe Itô equation dX(t) = b{X(t)}dt + β{X(t)/a)dt + √DdB(t) is analysed for t → ∞, a → ∞. In the range 1 < t < a2/3, X(t) is asymptotically Gaussian if b is periodic, β Lipschitzian; here the large-scale fluctuations may be ignored. In the range t > a2, with both b and β periodic and divergence-free, a integral, Gaussian approximation is again valid under an appropriate hypothesis on the geometry of β here for some coordinates of X(t) the dispersivity. or variance per unit time, mav grow at the extreme rate O(a2) white stabilizing for others. As shown by examples, Gaussian approximation generally breaks down at intermediate lime-scales. These results translate into asymptotics of a class of Fokker-Planck equations which arise in the prediction of contaminant transport in an aquifer under multiple scales of spatial heterogeneity. In particular, contrary to popular belief, the growth in dispersivity is always slower than linear.

KW - Diffusion processes

KW - Gaussian limits

KW - Time-scales

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U2 - 10.3150/bj/1186078363

DO - 10.3150/bj/1186078363

M3 - Article

AN - SCOPUS:84972495950

SN - 1350-7265

VL - 1

SP - 81

EP - 123

JO - Bernoulli

JF - Bernoulli

IS - 1-2

ER -