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Tightness and Boundedness of Stochastic Flows

Authors: Hong Zhang a; D. Kannan b
Affiliations:   a Department of Mathematics, University of Wisconsin at Oshkosh, Oshkosh, Wisconsin, USA
b Department of Mathematics, University of Georgia, Athens, Georgia, USA
DOI: 10.1081/SAP-120017541
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 21, Issue 1 January 2003 , pages 235 - 263
Formats available: HTML (English) : PDF (English)
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Abstract

In Basak and Kannan, (Basak, G.K.; Kannan, D. Volume nullification and asymptotic flatness of degenerate diffusions. Stoch. Anal. Appl. 1996, 14, 131-148) the authors made a conjectural remark about the relationship between the boundedness and tightness of a degenerate diffusion process 7541ILM0001.gif (restated in the introductory section below). In the present article we investigate these relationships for the Brownian and Leacutevy flows in particular; some of these results hold for more general forward stochastic flows. Particularly, we show that (a) when the flow 7541ILM0002.gif is an Lp-random field and is also tight for each x, then 7541ILM0003.gif as t→∞, then the flow cannot be tight for all x. We establish some relationship between tightness and asymptotic behavior of the infinitesimal generator of 7541ILM0004.gif and also discuss the almost sure boundedness of the flow.
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