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# On diffusion approximation with discontinuous coefficients

## 1. Introduction

Suppose that we are given a sequence of semimartingales $`(x_t^n)_{t0}`$, $`n=1,2,\mathrm{}`$, with paths in the Skorokhod space $`𝒟=𝒟([0,\mathrm{}),^d)`$ of $`^d`$-valued right-continuous functions on $`[0,\mathrm{})`$ having left limits on $`(0,\mathrm{})`$. If one can prove that the sequence of distributions $`^n`$ of $`x_{}^n`$ on $`𝒟`$ weakly converges to the distribution $``$ of a diffusion process $`(x_t)_{t0}`$, then one says that the sequence of $`(x_t^n)_{t0}`$ admits a diffusion approximation. In this article by diffusion processes we mean solutions of Itô equations of the form

$$x_t=x_0+_0^tb(s,x_s)𝑑s+_0^t\sqrt{a(s,x_s)}𝑑w_s,$$

with $`w_t`$ being a vector-valued Wiener process. Usually to investigate the question if in a particular situation there is a diffusion approximation one uses the general framework of convergence of semimartingales as developed for instance in §3, Ch. 8 of  (also see the references in this book).

The problem of diffusion approximation attracted attention of many researchers who obtained many deep and important results. The reason for this is that diffusion approximation is a quite efficient tool in stochastic systems theory (see , ), in asymptotic analysis of queueing models under heavy traffic and bottleneck regimes (see ), in finding asymptotically optimal filters (see , ), in asymptotical optimization in stochastic control problems (see , ), and in many other issues.

In all above-mentioned references the coefficients $`a(t,x)`$ and $`b(t,x)`$ of the limit diffusion process are continuous in $`x`$. In part, this is dictated by the approach developed in §3, Ch. 8 of . On the other hand, there are quite a few situations in which the limit process should have discontinuous coefficients. One of such situations is presented in  where a queueing model is considered. It was not possible to apply standard results and the authors only conjectured that the diffusion approximation should be a process with natural coefficients. Later this conjecture was rigorously proved in . In  and  only drift term is discontinuous. Another example of the limit diffusion with discontinuous both drift and diffusion coefficients is given in article  on averaging principle for diffusion processes with null-recurrent fast component.

The idea to circumvent the discontinuity of $`a`$ and $`b`$ is to try to show that the time spent by $`(t,x_t)`$ in the set $`G`$ of their discontinuity in $`x`$ is zero. This turns out to be enough if outside of $`G`$ the “coefficients” of $`x_t^n`$ converge “uniformly” to the coefficients of $`x_t`$. By the way, even if all these hold, still the functionals

$$_0^ta(t,y_t)𝑑t,_0^tb(t,y_t)𝑑t,y_{}𝒟$$

need not be continuous on the support of $``$. This closes the route of “trivial” generalizing the result from §3, Ch. 8 of .

To estimate the time spent by $`x_t`$ we use an inequality similar to the following one

$$E_0^Tf(t,x_t)𝑑tN\left(_0^T_^df^{d+1}(t,x)𝑑x𝑑t\right)^{1/(d+1)},$$
(1.1)
which is obtained in  for nonnegative Borel $`f`$. Then upon assuming that $`G(0,\mathrm{})\times ^d`$ has $`d+1`$-dimensional Lebesgue measure zero and substituting $`I_G`$ in place of $`f`$ in (1.1) we get that indeed the time spent by $`(t,x_t)`$ in $`G`$ is zero. However, for (1.1) to hold we need the process $`x_t`$ to be uniformly nondegenerate which may be not convenient in some applications. Therefore, in Sec. 5 we prove a version of (1.1), which allows us to get the conclusion about the time spent in $`G`$ assuming that the process is nondegenerate only on $`G`$. In essence, our approach to diffusion approximation with discontinuous coefficients is close to the one from . However, details are quite different and we get more general results under less restrictive assumptions. In particular, we do not impose the linear growth condition. Neither do we assume that the second moments of $`x_0^n`$ are bounded. The weak limits of processes with jumps appear in many other settings, in particular, in Markov chain approximations in the theory of controlled diffusion processes, where, generally, the coefficients of $`x_t^n`$ are not supposed to converge to anything in any sense and yet the processes converge weakly to a process of diffusion type.

We mention here Theorem 5.3 in Ch. 10 of  also bears on this matter in the particular case of Markov chain approximations in the theory of controlled diffusion processes. Clearly, there is no way to specify precisely the coefficients of all limit points in the general problem. Still one can obtain some nontrivial information and one may wonder if one can get anything from general results when we are additionally given that the coefficients do converge on the major part of the space. In Remarks 2.6 and 2.7 we show that this is not the case in what concerns Theorem 5.3 in Ch. 10 of .

Above we alluded to the “coefficients” of $`x_t^n`$. By them we actually mean the local drift and the matrix of quadratic variation. We do not use any additional structure of $`x_t^n`$. In particular, the quadratic variation is just the sum of two terms: one coming from diffusion and another from jumps. Therefore unlike  we do not use any stochastic equations for $`x_t^n`$. This allows us to neither introduce nor use any assumptions on the martingales driving these equations and their (usual) coefficients thus making the presentation simpler and more general. On the other hand it is worth noting that the methods of  may be more useful in other problems. Our intention was not to cover all aspects of diffusion approximation but rather give a new method allowing us to treat discontinuous coefficients. In particular, we do not discuss uniqueness of solutions to the limit equation. This is a separate issue belonging to the theory of diffusion processes and we only mention article , where the reader can find a discussion of it.

The paper is organizes as follows. In Section 2 we prove our main results, Theorems 2.1 and 2.5, about diffusion approximation. Their proofs rely on the estimate proved in Sec. 5 we have been talking about above. But even if the set $`G`$ is empty, the results which we prove are the first ones of the kind.

In Theorems 2.1 and 2.5 there is no assumption about any control of $`\sqrt{a(t,x)}`$ and $`b(t,x)`$ as $`|x|\mathrm{}`$, but instead we assume that $`^n`$ converge weakly to $``$. Therefore, in Sec. 3 we give a sufficient condition for precompactness of a sequence of distributions on Skorokhod space. Interestingly enough, this condition is different from those which one gets from  and  and again does not involve usual growth conditions. Sec. 4 contains an example of application of our results to a queueing model close to the one from , . We slightly modify the model from ,  and get the diffusion approximation with discontinuous drift and diffusion coefficients. To the best of our knowledge this is the first example when the diffusion approximation leads to discontinuous diffusion coefficients.

The authors are sincerely grateful to the referees for many useful suggestions.

## 2. The main results

We use notions and notation from . For each $`n=1,2,\mathrm{}`$, let

$$(\mathrm{\Omega }^n,^n,_t^n,t0,P^n)$$

be a stochastic basis satisfying the “usual” assumptions. Let $`𝒟`$ be the Skorokhod space or right-continuous $`^d`$-valued functions $`x_t`$ given on $`[0,\mathrm{})`$ and having left limits on $`(0,\mathrm{})`$. As usual we endow $`𝒟`$ with Skorokhod-Lindvall metric in which $`𝒟`$ becomes a Polish space (see Theorem 2, §1, Ch. 6 of ).

Suppose that for each $`n`$ on $`\mathrm{\Omega }^n`$ we are given an $`_t^n`$-semimartingale $`x_t^n`$, $`t0`$, with trajectories in $`𝒟`$. Let $`(B^n,C^n,\nu ^n)`$ be the triple of predictable characteristics of $`(x_t^n,_t^n)`$ and $`\mu ^n`$ be its jump measure (see §1, Ch. 4 of ). Then

$$x_t^n=x_0^n+B_t^n+x_t^{nc}+_0^t_{|x|1}x(\mu ^n\nu ^n)(dsdx)+_0^t_{|x|>1}x\mu ^n(dsdx),$$

where $`B_t^n`$ is a predictable process of locally bounded variation with $`B_0^n=0`$, $`x_t^{nc}`$ is a continuous local martingale with $`x^{nc}_t=C_t^n`$, $`\nu ^n`$ is the compensator of $`\mu ^n`$. Define

$$m_t^n=x_t^{nc}+_0^t_{|x|1}x(\mu ^n\nu ^n)(dsdx),j_t^n=_0^t_{|x|>1}x\mu ^n(dsdx)$$

so that $`m_t^n`$ is a locally square-integrable martingale and

$$x_t^n=x_0^n+B_t^n+m_t^n+j_t^n.$$
(2.1)
###### Assumption 2.1.

(i) For each $`n`$ on $`(0,\mathrm{})\times 𝒟`$ we are given an $`^d`$-valued function $`b^n=b^n(t,y_{})`$ and a $`d\times d`$ matrix valued function $`a^n=a^n(t,y_{})`$ which is nonnegative and symmetric for any $`t`$ and $`y_{}𝒟`$. The functions $`b^n`$ and $`a^n`$ are Borel measurable. (ii) For each $`r[0,\mathrm{})`$ there exists a locally integrable function $`L(r,t)`$ given on $`[0,\mathrm{})`$ such that $`L(r,t)`$ increases in $`r`$ and

$$|b^n(t,y_{})|+𝗍𝗋𝖺𝖼𝖾a^n(t,y_{})L(r,t)$$
(2.2)
whenever $`t>0`$, $`y_{}𝒟`$, and $`|y_t|r`$. (iii) We have

$$B_t^n=_0^tb^n(s,x_{}^n)𝑑s,m^n_t=2_0^ta^n(s,x_{}^n)𝑑s.$$

###### Remark 2.1.

We have

$$m^n_t^{ij}=x^{nc}_t^{ij}+_0^t_{|x|1}x^ix^j\nu ^n(dsdx)$$

and it follows from Assumption 2.1 that both summands on the right are absolutely continuous in $`t`$. In particular, they are continuous, which along with the continuity of $`B_t^n`$ implies that $`x_t^n`$ is quasi leftcontinuous (see Theorem 1, §1, Ch. 4 of ).

###### Assumption 2.2.

(i) On $`(0,\mathrm{})\times ^d`$ we are given an $`^d`$-valued function $`b=b(t,x)`$ and a $`d\times d`$ matrix valued function $`a=a(t,x)`$ which is nonnegative and symmetric for any $`t`$ and $`x`$. The functions $`b`$ and $`a`$ are Borel measurable.

(ii) There exists a Borel set $`G(0,\mathrm{})\times ^d`$ (perhaps empty) such that, for almost every $`t(0,\mathrm{})`$, for every $`x`$ lying outside of the $`t`$-section $`G_t:=\{x^d:(t,x)G\}`$ of $`G`$ and any sequence $`y_{}^n𝒟`$, which converges to a continuous function $`y_{}`$ satisfying $`y_t=x`$, it holds that

$$b^n(t,y_{}^n)b(t,x),a^n(t,y_{}^n)a(t,x).$$

###### Remark 2.2.

It is easy to see that Assumption 2.2 implies that for almost any $`t`$, the functions $`a(t,x)`$ and $`b(t,x)`$ are continuous on the set $`^dG_t`$ in the relative topology of this set.

Also, Assumptions 2.1 and 2.2 obviously imply that

$$|b(t,x)|+𝗍𝗋𝖺𝖼𝖾a(t,x)L(r,t)$$

for almost every $`t(0,\mathrm{})`$ and all $`x`$ satisfying $`|x|r`$, $`xG_t`$.

###### Assumption 2.3.

If $`G\mathrm{}`$, then for almost each $`t`$

(i) the set $`G_t`$ has Lebesgue measure zero,

(ii) for every $`xG_t`$ and each sequence $`y_{}^n𝒟`$, which converges to a continuous function $`y_{}`$ satisfying $`y_t=x`$, we have

$$\underset{¯}{\mathrm{lim}}_n\mathrm{}deta^n(t,y_{}^n)\delta (t,x)>0,$$
(2.3)
where $`\delta `$ is a Borel function.

###### Remark 2.3.

Condition (2.3) is satisfied if, for instance, the processes $`x_t^n`$ are uniformly nondegenerate in a neighborhood of $`G_t`$.

###### Assumption 2.4.

For any $`T,\epsilon (0,\mathrm{})`$, and any $`\alpha (0,1]`$, it holds that

$$\underset{n\mathrm{}}{lim}P^n(\nu ^n((0,T]\times B_\alpha ^c))\epsilon )=0,$$

where $`B_\alpha =\{x^d:|x|<\alpha \}`$, $`B_\alpha ^c=\{x^d:|x|\alpha \}`$.

###### Remark 2.4.

Notice that for each $`\alpha (0,1]`$ and $`r,T[0,\mathrm{})`$

$$\theta _{rT}^n:=_0^T_{|x|1}|x|^3I_{|x_s|r}\nu ^n(dsdx)_0^T_{|x|<\alpha }+_0^T_{|x|\alpha }$$

$$\alpha _0^T_{|x|1}|x|^2I_{|x_s|r}\nu ^n(dsdx)+\nu ^n((0,T]\times B_\alpha ^c)),$$

where according to Assumption 2.1 the first term on the right is less than

$$2\alpha _0^TI_{|x_s|r}𝗍𝗋𝖺𝖼𝖾a^n(s,x_{}^n)ds2\alpha _0^TL(r,s)𝑑s.$$

It follows easily that, owing to Assumptions 2.1 and 2.4, for each $`\epsilon >0`$ and $`r,T[0,\mathrm{})`$, we have

$$\underset{n\mathrm{}}{lim}P^n(\theta _{rT}^n\epsilon )=0$$

and since $`\theta _{rT}^n2_0^TL(r,s)𝑑s`$, we also have $`E^n\theta _{rT}^n0`$ as $`n\mathrm{}`$, where $`E^n`$ is the expectation sign relative to $`P^n`$.

###### Remark 2.5.

Define

$$\gamma ^n=inf\{t0:|j_t^n|>1\}.$$
(2.4)
Then $`\gamma ^n`$ is an $`_t^n`$-stopping time, and obviously $`j_t^n=0`$ for $`0t<\gamma ^n`$. Furthermore, by Lemma VI.4.22 of , Assumption 2.4 implies that

$$P^n(\gamma ^nT)0$$

for each $`T[0,\mathrm{})`$.

###### Theorem 2.1.

In addition to Assumptions 2.1-2.4, suppose that the sequence of distributions $`(^n)_{n1}`$ of $`x_{}^n`$ converges weakly on the Polish space $`𝒟`$ to a measure $``$. Then $``$ is the distribution of a solution of the Itô equation

$$x_t=x_0+_0^t\sqrt{2a(s,x_s)}𝑑w_s+_0^tb(s,x_s)𝑑s$$
(2.5)
defined on a probability space with $`w_t`$ being a $`d`$-dimensional Wiener process.

###### Remark 2.6.

Notice that there are no conditions on the values of $`a(t,x)`$ and $`b(t,x)`$ on the set $`G`$. Hence Theorem 2.1 holds if we replace $`a,b`$ with any other Borel functions, which coincide with the original ones on the complement $`\mathrm{\Gamma }`$ of $`G`$. Of course, this can only happen if

$$_0^tI_G(s,x_s)𝑑s=0\text{(a.s.)}.$$

This equality is proved in Lemma 2.4. In particular, $`x_t`$ satisfies

$$x_t=x_0+_0^tI_\mathrm{\Gamma }(s,x_s)\sqrt{2a(s,x_s)}𝑑w_s+_0^tI_\mathrm{\Gamma }(s,x_s)b(s,x_s)𝑑s.$$
(2.6)
Thus, the limit process satisfies (2.6). A particular feature of this equation is that generally its solutions are not unique. Indeed, let $`x_t^{}`$ be a one-dimensional Wiener process $`w_t`$ and $`x_t^{\prime \prime }`$ the process identically equal to zero. They both satisfy $`dx_t=\sqrt{2a(t,x_t)}dw_t`$, where $`a(t,x)=1/2`$ for $`(t,x)G`$, $`a(t,x)=0`$ for $`(t,x)G`$, and $`G=[0,\mathrm{})\times \{0\}`$. Of course, there are many more different solutions which spend some time at zero then follow the trajectories of $`w_t`$ for a while and then again stay at zero. Therefore, the statement that $`x_t`$ has the form

$$x_t=x_0+_0^t\sqrt{2a_s}𝑑w_s+_0^tb_s𝑑s,$$

where $`a_s=a(s,x_s)`$ and $`b_s=b(s,x_s)`$ whenever $`(s,x_s)G`$ and $`a`$ and $`b`$ are not specified otherwise (cf. the first part of Theorem 5.3 in Ch. 10 of ), contains very little information on the process: in the above example both $`x_t^{}`$ and $`x_t^{\prime \prime }`$ have this form. In contrast with this always in the above example, the fact that without changing $`x_t`$ one can change $`a,b`$ on $`G`$ in any way, and thus take $`a1/2`$, leaves only one possibility: $`x_t=w_t`$.

###### Remark 2.7.

From Remark 2.6 we also see that the assumption that (2.5) has a unique (weak or strong) solution makes no sense unless the values of $`a(t,x)`$ and $`b(t,x)`$ are specified everywhere. In Theorem 5.3 in Ch. 10 of  an attempt is presented to specify $`a(t,x)`$ and $`b(t,x)`$ on $`G`$ consisting of requiring that they belong to the set of all possible diffusion and drift coefficients of $`x_t`$ when $`x_tG_t`$. Generally, the set $`x_tG_t`$ has zero probability (say, for the Wiener process) and the requirement seems to have little sense. Nevertheless, it is natural to assume that, if $`x_t=w_t`$ in the example from Remark 2.6, then the only possibility for $`a(t,0)`$ is $`1/2`$, the same value as for all other $`x`$.

In that case, the equation $`dx_t=\sqrt{2a(t,x_t)}dw_t`$ ($`=dw_t`$) with zero initial condition has a unique solution, the distribution of which (by Theorem 2.1) is the weak limit of the distributions of solutions to $`dx_t^n=\sqrt{2a^n(x_t)}dw_t`$ with zero initial condition, where $`a^n(x)=1/2`$ for $`|x|1/n`$ and $`a^n(x)=1/3`$ for $`|x|<1/n`$.

Hovewer, this fact does not imply that the distributions of any other processes $`z_{}^n`$ converge to the Wiener measure, provided only that $`z_t^n`$ satisfy $`z_0^n=0`$ and $`dz_t^n=\sqrt{2c^n(z_t^n)}dw_t`$ with $`c^n(x)=a^n(x)`$ for $`|x|1/n`$, $`c^n0`$, and $`sup_{n,x}c^n(x)<\mathrm{}`$. To show this, it suffices to define $`c^n(x)=n^2x^2`$ for $`|x|1/n`$ and notice that $`z_t^n0`$ for all $`n`$.

This somewhat contradicts the second part of Theorem 5.3 in Ch. 10 of .

The proof of Theorem 2.1 consists of several steps throughout which we assume that the conditions of this theorem are satisfied.

The idea is to rewrite (2.5) in terms of the martingale problem of Stroock-Varadhan. Then naturally we also want to write the information about $`x_t^n`$ in a martingale form not involving stochastic bases and convenient to passing to the limit. This is done in Lemma 2.2. After that we pass to the limit and in Lemma 2.3 derive our theorem upon additionally assuming that the time spent by the limit process $`(t,x_t)`$ in the set $`G`$ of possible discontinuities of coefficients is zero. This additional assumption holds, for instance, if $`G=\mathrm{}`$. Lemma 2.4 concludes the proof of the theorem.

After that in Theorem 2.5 we extend Theorem 2.1 to cases in which uniform nondegeneracy on $`G_t`$ of diffusion is not required. We show the usefulness of Theorem 2.5 in Remark 4.3.

As any probability measure on $`𝒟`$, the measure $``$ is the distribution on $`𝒟`$ of a process $`x_{}`$ having trajectories in $`𝒟`$ and defined on a probability space. By $`E`$ we denote the expectation sign associated with that probability space. We will see that the theorem holds for this $`x_{}`$ up to a possible enlargement of the probability space on which $`x_{}`$ lives. In the following lemma Assumptions 2.2 and 2.3 are not used.

By $`C_0^{\mathrm{}}(^{d+1})`$ we denote the set of all infinitely differentiable real-valued function $`u=u(t,x)`$ on $`^{d+1}`$ with compact support.

###### Lemma 2.2.

For any $`0t_1\mathrm{}t_qst<\mathrm{}`$, continuous bounded function $`f`$ on $`^{qd}`$, and $`uC_0^{\mathrm{}}(^{d+1})`$, we have

$`Ef(x_{t_1},\mathrm{},x_{t_q})\left[u(t,x_t)u(s,x_s)\right]`$
$`=\underset{n\mathrm{}}{lim}E^nf(x_{t_1}^n,\mathrm{},x_{t_q}^n){\displaystyle _s^t}[u_p(p,x_p^n)`$ $`+a^{nij}(p,x_{}^n)u_{x^ix^j}(p,x_p^n)`$
$`+b^{ni}(p,x_{}^n)u_{x^i}(p,x_p^n)]dp.`$ (2.7)
Furthermore, the integrand with respect to $`p`$ is less than $`NL(r,p)`$, where the constants $`N`$ and $`r`$ depend only on $`u`$ but not on $`\omega `$ and $`n`$.

Proof. Denote

$$z_t^n=x_t^nj_t^n,$$

and for any process $`z_t`$ on $`\mathrm{\Omega }^n`$ denote (whenever it makes sense)

$`M_t^n(z_{}):=u(t,z_t)u(0,z_0){\displaystyle _0^t}u_t(s,z_s)𝑑s{\displaystyle _0^t}u_{x^i}(s,z_s)𝑑B_s^{ni}`$
$`(1/2){\displaystyle _0^t}u_{x^ix^j}(s,z_s)dm^n_s^{ij},`$ (2.8)
$$\rho _s^n(z_{},x)=u(s,z_s+x)u(s,z_s)x^iu_{x^i}(s,z_s)(1/2)x^ix^ju_{x^ix^j}(s,z_s),$$

$$R_t^n(z_{})=_0^t_{|x|1}\rho _s^n(z_{},x)\nu ^n(dsdx).$$
(2.9)
Notice that, by Itô’s formula (see Theorem 1, §3, Ch. 2 of ) the process $`M_t^n(z_{}^n)R_t^n(z_{}^n)`$ is a local $`_t^n`$-martingale. To be more precise Theorem 1, §3, Ch. 2 of  says that

$$M_t^n(z_{}^n)R_t^n(z_{}^n)=\underset{0<st}{}\left[u(s,z_s^n)u(s,z_s^n)u_{x^i}(s,z_s^n)\mathrm{\Delta }z_s^{ni}\right]$$

$$_0^t_{|x|1}\left[u(s,z_s^n+x)u(s,z_s^n)x^iu_{x^i}(s,z_s^n)\right]\nu ^n(dsdx)$$

$$+_0^tu_{x^i}(s,x_s^n)𝑑m_s^{ni}.$$

Here the last term is a local martingale as is any stochastic integral with respect to a local martingale and the sum of remaining terms equals

$$_0^t_{|x|1}\left[u(s,z_s^n+x)u(s,z_s^n)x^iu_{x^i}(s,z_s^n)\right]\overline{\mu }(dsdx)$$

which is the stochastic integral with respect to the martingale measure $`\overline{\mu }=\mu \nu `$ and thus also is a local martingale.

Take the $`_t^n`$-stopping time $`\gamma ^n`$ introduced in (2.4). Then

$$M_{t\gamma ^n}^n(z_{}^n)R_{t\gamma ^n}^n(z_{}^n)$$

is again a local martingale. It turns out that, for each $`T[0,\mathrm{})`$, the trajectories of $`M_{t\gamma ^n}^n(z_{}^n)`$, $`t[0,T]`$, are bounded and even uniformly in $`n`$, Indeed, let $`r`$ be such that $`u(t,x)=0`$ for $`|x|r`$. Notice that $`z_t^n=x_t^n`$ for $`0t<\gamma ^n`$. Then we find

$$_0^{t\gamma ^n}u_{x^i}(s,z_s^n)𝑑B_s^{ni}=_0^{t\gamma ^n}u_{x^i}(s,x_s^n)b^{ni}(s,x_{}^n)𝑑s,$$

where

$$|u_{x^i}(s,x_s^n)b^{ni}(s,x_{}^n)|=0$$

if $`|x_s|r`$ (since $`u(t,x)=0`$ for $`|x|r`$) and

$$|u_{x^i}(s,x_s^n)b^{ni}(s,x_{}^n)|L(r,s)\underset{s,x}{sup}|u_x(s,x)|$$

if $`|x_s|r`$ (see Assumption 2.1). Therefore,

$$\left|_0^{t\gamma ^n}u_{x^i}(s,z_s^n)𝑑B_s^{ni}\right|\underset{s,x}{sup}|u_x(s,x)|_0^tL(r,s)𝑑s.$$

Similarly one treats the integrals with respect to $`m^n_s^{ij}`$. As long as $`R_t^n(z_{}^n)`$ is concerned we notice that, for $`|x|1`$ and $`0t<\gamma ^n`$, we have

$$|\rho _s^n(z_{}^n,x)|N|x|^3I_{|z_s^n|r+1}=N|x|^3I_{|x_s^n|r+1},$$

where the constant $`N`$ can be expressed in terms of the third-order derivatives of $`u`$ only. Therefore,

$$|R_{t\gamma ^n}^n(z_{}^n)|N\theta _{r+1,T}^n,$$

where $`\theta _{r,T}^n`$ is introduced in Remark 2.4. By this remark for any $`t`$ we have $`E|R_{t\gamma ^n}^n(z_{}^n)|0`$. It follows that $`E^n|R_{t\gamma ^n}^n(z_{}^n)|<\mathrm{}`$, so that the local martingale $`M_{t\gamma ^n}^n(z_{}^n)R_{t\gamma ^n}^n(z_{}^n)`$ is in fact a martingale.

Hence,

$$E^nf(x_{t_1}^n,\mathrm{},x_{t_m}^n)\left[M_{t\gamma ^n}^n(z_{}^n)R_{t\gamma ^n}^n(z_{}^n)(M_{s\gamma ^n}^n(z_{}^n)R_{s\gamma ^n}^n(z_{}^n))\right]=0.$$

Since $`E^n|R_{t\gamma ^n}^n(z_{}^n)|0`$, we also have

$$\underset{n\mathrm{}}{lim}E^nf(x_{t_1}^n,\mathrm{},x_{t_q}^n)\left[M_{t\gamma ^n}^n(z_{}^n)M_{s\gamma ^n}^n(z_{}^n)\right]=0.$$

Furthermore, due to Remark 2.5, $`P(\gamma ^nT)0`$ as $`n\mathrm{}`$ for each $`T[0,\mathrm{})`$. In light of this fact and by virtue of the uniform boundedness of $`M_{.\gamma ^n}^n(z_{}^n)`$, we obtain

$$\underset{n\mathrm{}}{lim}E^n\left|M_{t\gamma ^n}^n(z_{}^n)M_{s\gamma ^n}^n(z_{}^n)\right|I_{\gamma _nt}=0,$$
(2.10)
so that

$$\underset{n\mathrm{}}{lim}E^nf(x_{t_1}^n,\mathrm{},x_{t_q}^n)\left[M_t^n(z_{}^n)M_s^n(z_{}^n)\right]I_{t<\gamma ^n}=0.$$

In addition, obviously, $`M_t^n(z_{}^n)=M_t^n(x_{}^n)`$ for $`t<\gamma ^n`$ and in the same way as above one can prove that the trajectories of $`M_t^n(x_{}^n)`$, $`t[0,T]`$, are uniformly bounded in $`n`$ for each $`T`$. It follows that (2.10) holds with $`t,s,x_{}^n`$ in place of $`t\gamma ^n`$, $`s\gamma ^n`$, $`z_{}^n`$, respectively. Thus,

$$\underset{n\mathrm{}}{lim}E^nf(x_{t_1}^n,\mathrm{},x_{t_q}^n)\left[M_t^n(x_{}^n)M_s^n(x_{}^n)\right]=0$$

which is rewritten as (2.7). The asserted boundedness of the integrand in (2.7) follows easily from the above argument. The lemma is proved.

After we have exploited stochastic bases $`(\mathrm{\Omega }^n,^n,_t^n,t0,P^n)`$, we will pass to processes defined on the same probability space. We are going to rely upon two facts. First we know from Theorem 1, §5, Ch. 6 of  that, owing to Assumption 2.4, $``$ is concentrated on the space of continuous $`^d`$-valued functions defined on $`[0,\mathrm{})`$. Second, remember that if $`y_{}^ny_{}`$ in $`𝒟`$ and $`y_{}`$ is continuous, then $`|y_{}^ny_{}|_t^{}0`$ for any $`t<\mathrm{}`$, where

$$y_t^{}:=\underset{rt}{sup}|y_r|.$$

Owing to these facts and Skorokhod’s embedding theorem (see §6, Ch. 1 of ), we may assume that all the processes $`x_{}^n`$, $`n=1,2,\mathrm{}`$, are given on the same probability space and there is a continuous process $`x_t`$ such that (a.s.)

$$\underset{n\mathrm{}}{lim}\underset{tT}{sup}|x_t^nx_t|=0T[0,\mathrm{}).$$
(2.11)
###### Lemma 2.3.

Assume that for any $`T`$

$$E_0^TI_G(t,x_t)𝑑t=0,$$
(2.12)
which is certainly true if $`G=\mathrm{}`$. Then the assertion of Theorem 2.1 holds.

Proof. As explained before the lemma we can write $`E`$ in place of $`E^n`$ in (2.7). Then we insert $`I_{x_pG_p}`$, which is harmless due to (2.12), in the integral in (2.7) (notice $`x_p`$ and not $`x_p^n`$). Furthermore, we remember the last assertion of Lemma 2.2 and use Assumption 2.2, (2.11), and the dominated convergence theorem to conclude that the limit in (2.7) equals

$`Ef(x_{t_1},\mathrm{},x_{t_q}){\displaystyle _s^t}I_{x_pG_p}[a^{ij}(p,x_p)u_{x^ix^j}(p,x_p)`$
$`+b^i(p,x_p)u_{x^i}(p,x_p)+u_p(p,x_p)]dp.`$ (2.13)
By using (2.12) again, we obtain that

$$Ef(x_{t_1},\mathrm{},x_{t_q})\left[u(t,x_t)u(s,x_s)\right]$$

$$=Ef(x_{t_1},\mathrm{},x_{t_q})_s^t[u_p(p,x_p)+a^{ij}(p,x_p)u_{x^ix^j}(p,x_p)$$

$$+b^i(p,x_p)u_{x^i}(p,x_p)]dp,$$

for any bounded continuous $`f`$ and $`t_ist`$. The latter just amounts to saying that the process

$$u(t,x_t)_0^t\left[u_s(s,x_s)+a^{ij}(s,x_s)u_{x^ix^j}(s,x_s)+b^i(s,x_s)u_{x^i}(s,x_s)\right]𝑑s$$

is an $`_t^x`$-martingale, where $`_t^x`$ is the $`\sigma `$-field generated by $`x_s`$, $`st`$. It only remains to remember the Lévy-Doob-Stroock-Varadhan characterization theorem (see, for instance, Sec. 4.5 in  or Secs. 2.6 and 2.7 in ). The lemma is proved.

###### Remark 2.8.

In the general case the above proof and Fatou’s theorem show that, if $`f`$ is nonnegative, then

$$Ef(x_{t_1},\mathrm{},x_{t_q})\left[u(t,x_t)u(s,x_s)\right]$$

$$Ef(x_{t_1},\mathrm{},x_{t_q})_s^tI_{x_pG_p}[u_p(p,x_p)+a^{ij}(p,x_p)u_{x^ix^j}(p,x_p)$$

$$+b^i(p,x_p)u_{x^i}(p,x_p)]dp+I,$$
(2.14)
where

$`I=Ef(x_{t_1},\mathrm{},x_{t_q}){\displaystyle _s^t}I_{x_pG_p}\overline{\mathrm{lim}}_n\mathrm{}[a^{nij}(p,x_{}^n)u_{x^ix^j}(p,x_p^n)`$
$`+b^{ni}(p,x_{}^n)u_{x^i}(p,x_p^n)+u_p(p,x_p^n)]dp.`$ (2.15)
In the following lemma we finish proving Theorem 2.1. At this moment we take Theorem 5.1 for granted.

###### Lemma 2.4.

Equation (2.12) holds and hence, by Lemma 2.3, Theorem 2.1 holds true as well.

Proof. First, we estimate the $`\overline{\mathrm{lim}}`$ in (2.8). Fix $`\omega `$ and almost any $`p`$ for which (2.3) holds with $`p`$ in place of $`t`$ and $`x_p(\omega )G_p`$. Then we can replace $`\overline{\mathrm{lim}}_n\mathrm{}`$ with $`\underset{n^{}\mathrm{}}{lim}`$, where $`n^{}`$ is an appropriate sequence tending to infinity. By extracting further subsequences when necessary we may assume that $`a^n^{}(p,x_{}^n^{})`$ and $`b^n^{}(p,x_{}^n^{})`$ converge to some $`\overline{a}`$ and $`\overline{b}`$. Since $`x_pG_p`$ and $`|x_{}^nx_{}|_p^{}0`$, (2.3) implies that $`det\overline{a}\delta (p,x_p)`$. In addition,

$$|\overline{b}|+𝗍𝗋𝖺𝖼𝖾\overline{a}L(|x_p|+1,p)$$

due to Assumption 2.1. Combined with $`det\overline{a}\delta (p,x_p)`$ this yields

$$\overline{a}^{ij}\lambda ^i\lambda ^j\delta (p,x_p)L^{(d1)}(|x_p|+1,p)|\lambda |^2=:\overline{\delta }(p,x_p)|\lambda |^2\stackrel{~}{\delta }(p,x_p)|\lambda |^2$$

for all $`\lambda ^d`$, where $`\stackrel{~}{\delta }=I_G\overline{\delta }`$. Now by replacing $`\delta `$ with $`\stackrel{~}{\delta }`$ and both $`K(r,t)`$ and $`L(r,t)`$ with $`L(r+1,t)`$ in Sec. 5, we conclude that

$$\overline{\mathrm{lim}}_n\mathrm{}\left[a^{nij}(p,x_{}^n)u_{x^ix^j}(p,x_p^n)+b^{ni}(p,x_{}^n)u_{x^i}(p,x_p^n)+u_p(p,x_p^n)\right]$$

$$u_p(p,x_p)+F(p,x_p,u_{xx}(p,x_p))+L(|x_p|+1,p)|u_x(p,x_p)|.$$

Furthermore, Remark 2.2 shows that the same estimate holds for the expression in brackets in (2), so that according to (2.14)

$$Ef(x_{t_1},\mathrm{},x_{t_q})[u(t,x_t)u(s,x_s)]Ef(x_{t_1},\mathrm{},x_{t_q})_s^t[u_p(p,x_p)$$

$$+F(p,x_p,u_{xx}(p,x_p))+L(|x_p|+1,p)|u_x(p,x_p)]dp$$

if $`f0`$. Hence the process

$$u(t,x_t)_0^t\left[u_s(s,x_s)+F(s,x_s,u_{xx}(s,x_s))+L(|x_s|+1,s)|u_x(s,x_s)\right]𝑑s$$

is a supermartingale and by Theorem 5.1 estimate (5.2) holds. If we take there $`f=I_G`$ and remember that the Lebesgue measure of $`G`$ is zero and $`\overline{\delta }(t,x)>0`$ on $`G_t`$ for almost all $`t`$, then we come to (2.12) with $`T\tau _r`$ in place of $`T`$. Upon letting $`r\mathrm{}`$ we finally obtain (2.12) as is. The lemma is proved.

The following theorem is used in Remark 4.3. Its proof is obtained by changing variables. We introduce an assumption different from Assumption 2.3.

###### Assumption 2.5.

If $`G\mathrm{}`$, then $`G=_{m=1}^{\mathrm{}}G^m`$, where $`G^m`$ are Borel sets. For each $`m`$, we are given an integer $`d_m1`$, a nonnegative Borel function $`\delta _m`$ defined on $`(0,\mathrm{})\times ^{d_m}`$, and a continuous $`^{d_m}`$-valued function $`v^m(t,x)=(v^{m1}(t,x),\mathrm{},v^{md_m}(t,x))`$ defined on $`[0,\mathrm{})\times ^d`$ and having there continuous in $`(t,x)`$ derivatives $`v_t^{mi},v_x^{mi},v_{xx}^{mi}`$. For each $`m`$ and almost every $`t(0,\mathrm{})`$,

(i) the set $`v^m(t,G_t^m)`$ has $`d_m`$-dimensional Lebesgue measure zero,

(ii) for every $`xv^m(t,G_t^m)`$ and each sequence $`y_{}^n𝒟`$, which converges to a continuous function $`y_{}`$ satisfying $`v^m(t,y_t)=x`$, we have

$$\underset{¯}{\mathrm{lim}}_n\mathrm{}detV^{mn}(t,y_{}^n)\delta _m(t,x)>0,$$
(2.16)
where the matrix $`V^{mn}(t,y_{})`$ is defined according to

$$V_{ij}^{mn}(t,y_{})=v_{x^k}^{mi}(t,y_t)v_{x^r}^{mj}(t,y_t)a^{nkr}(t,y_{})i,j=1,\mathrm{},d_m.$$

###### Remark 2.9.

Assumption 2.3 is stronger than Assumption 2.5. Indeed, if the former is satisfied, one can take $`G^m=G`$, $`\delta _m(t,x)=\delta (t,x)`$, $`d_m=d`$, and $`v^{mi}=x^i`$, $`i=1,\mathrm{},d`$, in which case $`detV^{mn}=deta^n`$.

###### Remark 2.10.

Another case is when again everything is independent of $`m`$, but $`d_m=1`$ and $`v(t,x)=x^1`$. Then condition (2.16) becomes

$$\underset{¯}{\mathrm{lim}}_n\mathrm{}a^{n11}(t,y_{}^n)\delta (t,x)>0,$$

which is much weaker than (2.3). However, in this case in order to satisfy requirement (i) of Assumption 2.5 we need to assume that $`G_t`$ lies in a hyperplane orthogonal to the first coordinate axis.

###### Remark 2.11.

Assume that $`G=_{m=1}^{\mathrm{}}G^m`$, where $`G_t^m`$ are independent of $`t`$ and are hyperplanes $`G_t^m=\{x:(x,\alpha _m)=\beta _m\}`$ with certain $`\alpha _m^d`$ and $`\beta _m`$ satisfying $`|\alpha _m|=1`$. Assume that we have a Borel nonnegative functions $`\delta _m(t,x)`$, $`x`$. Finally, assume that for every $`m1,t>0`$, $`x^d`$ such that

$$(x,\alpha _m)=\beta _m,$$

and each sequence $`y_{}^n𝒟`$, which converges to a continuous function $`y_{}`$ satisfying $`y_t=x`$, we have

$$\underset{¯}{\mathrm{lim}}_n\mathrm{}a^{nij}(t,y_{}^n)\alpha ^i\alpha ^j\delta (t,\beta _m)>0.$$

Then it turns out that Assumption 2.5 is satisfied. To show this, it suffices to take $`d_m=1`$ and $`v^m(t,x)=(x,\alpha _m)`$ and notice that the image of $`G_t^m`$ under the mapping $`v^m(t,):G_t^m`$ is just one point $`\beta _m`$. We will use this fact in Sec. 4.

###### Remark 2.12.

Generally, condition (2.16) is aimed at situations in which $`x_t^n`$ in the limit may degenerate in some directions but not along all those which are transversal to $`G_t`$.

###### Theorem 2.5.

Suppose that Assumptions 2.1, 2.2, 2.4, and 2.5 are satisfied and the sequence of distributions $`(^n)_{n1}`$ of $`x_{}^n`$ converges weakly on $`𝒟`$ to a measure $``$. Then the assertion of Theorem 2.1 holds true again.

Proof. We mimic the argument from the proof of Lemma 2.4 to show that (2.12) holds if Assumption 2.5 rather than Assumption 2.3 is satisfied. The main idea is to change variables according to the mappings $`v^m`$.

It suffices to prove that, for each $`m`$, equation (2.12) holds with $`G^m`$ in place of $`G`$. Furthermore, without losing generality we may assume that each set $`G^m`$ is bounded otherwise we could split each of them into the union of bounded sets and consider them as new $`G^m`$’s. We fix $`m,T`$, and $`R`$ and assume that $`G^m[0,T]\times B_R`$. Then the behavior of $`v^m(t,x)`$ for large $`|x|`$ becomes irrelevant and, changing $`v^m`$ outside of $`[0,T]\times B_R`$ if necessary, we assume that

$$v^m(t,x)=e_1|x|$$
(2.17)
for $`(t,x)[0,2T]\times B_{2R}`$ , where $`e_1`$ is the first basis vector in $`^{d_m}`$. It follows that there is a constant $`N_0<\mathrm{}`$ such that

$$|v_x^m(t,x)|+|v_{x^ix^j}^m(t,x)|+|v_t^m(t,x)|N_0t,x.$$
(2.18)
It also follows that, for any $`r0`$,

$$|v_x^m(t,x)|r|x|2R+r.$$
(2.19)
After that we go back to Lemma 2.2 and take there

$$u(t,x)=w(t,v^m(t,x)),$$

with $`w`$ being a function of class $`C_0^{\mathrm{}}(^{d_m+1})`$. By the way, our stipulation (2.17) about the behavior of $`v^m`$ for large $`|x|`$ yields that $`uC_0^{\mathrm{}}(^{d_m+1})`$. We also take the function $`f`$ in the form

$$f(y_1,\mathrm{},y_q)=g(v^m(t_1,y_1),\mathrm{},v^m(t_q,y_q)),$$

where $`y_i^d`$ and $`g`$ is a continuous bounded nonnegative function on $`^{qd_m}`$. Finally, we define

$$\stackrel{~}{x}_t^n=v^m(t,x_t^n),\stackrel{~}{x}_t=v^m(t,x_t).$$

Notice that

$$a^{nij}(p,x_{}^n)u_{x^ix^j}(p,x_p^n)+b^{ni}(p,x_{}^n)u_{x^i}(p,x_p^n)+u_p(p,x_p^n)$$

$$=\stackrel{~}{a}^{nkr}(p,x_{}^n)w_{x^kx^r}(p,\stackrel{~}{x}_p^n)+\stackrel{~}{b}^{nk}(p,x_{}^n)w_{x^i}(p,\stackrel{~}{x}_p^n)+w_p(p,\stackrel{~}{x}_p^n),$$

where, for $`y_{}𝒟`$,

$$\stackrel{~}{a}^{nkr}(p,y_{})=a^{nij}(p,y_{})v_{x^i}^{mk}(p,y_p)v_{x^j}^{mr}(p,y_p),$$

$$\stackrel{~}{b}^{nk}(p,y_{})=a^{nij}(p,y_{})v_{x^ix^j}^{mk}(p,y_p)+b^{ni}(p,y_{})v_{x^i}^{mk}(p,y_p)+v_p^{mk}(p,y_p).$$

Then on the basis of Fatou’s theorem and Lemma 2.2 we get

$$Ef(x_{t_1},\mathrm{},x_{t_q})\left[u(t,x_t)u(s,x_s)\right]$$

$$=Ef(x_{t_1},\mathrm{},x_{t_q})_s^t\overline{\mathrm{lim}}_n\mathrm{}[u_p(p,x_p)+a^{nij}(p,x_{}^n)u_{x^ix^j}(p,x_p^n)$$

$$+b^{ni}(p,x_{}^n)u_{x^i}(p,x_p^n)]dp$$

$$=Eg(\stackrel{~}{x}_{t_1},\mathrm{},\stackrel{~}{x}_{t_q})_s^t\overline{\mathrm{lim}}_n\mathrm{}[w_p(p,\stackrel{~}{x}_p)+\stackrel{~}{a}^{nkr}(p,x_{}^n)w_{x^kx^r}(p,\stackrel{~}{x}_p^n)$$

$$+\stackrel{~}{b}^{nk}(p,x_{}^n)w_{x^k}(p,\stackrel{~}{x}_p^n)]dp.$$

Also notice that owing to (2.18), $`\stackrel{~}{a}`$ and $`\stackrel{~}{b}`$ satisfy (2.2) with $`L(r,t)`$ replaced with $`N_0L(r,t)`$. In light of (2.19) this implies

$$|\stackrel{~}{b}^n(t,x_{}^n)|+𝗍𝗋𝖺𝖼𝖾\stackrel{~}{a}^n(t,x_{}^n)N_0L(2R+|\stackrel{~}{x}_t^n|,t).$$

In addition, according to (2.16), for almost any $`t`$, for every $`\stackrel{~}{x}v^m(t,G_t^m)`$ and each sequence $`y_{}^n𝒟`$, which converges to a continuous function $`y_{}`$ satisfying $`v^m(t,y_t)=\stackrel{~}{x}`$, we have

$$\underset{¯}{\mathrm{lim}}_n\mathrm{}det\stackrel{~}{a}^n(t,y_{}^n)\delta _m(t,\stackrel{~}{x})>0,$$

$$\underset{¯}{\mathrm{lim}}_n\mathrm{}\stackrel{~}{a}^{nkr}(t,y_{}^n)\lambda ^k\lambda ^r\stackrel{~}{\delta }_m(t,\stackrel{~}{x})|\lambda |^2$$

for all $`\lambda R^{d_m}`$, where

$$\stackrel{~}{\delta }_m(t,\stackrel{~}{x})=\delta _m(t,\stackrel{~}{x})L^{(d_m1)}(2R+|\stackrel{~}{x}|+1,t)I_{v^m(G^m)}(t,\stackrel{~}{x})$$

Then as in the proof of Lemma 2.4 we find that

$$Eg(\stackrel{~}{x}_{t_1},\mathrm{},\stackrel{~}{x}_{t_q})[w(t,\stackrel{~}{x}_t)w(s,\stackrel{~}{x}_s)]Eg(\stackrel{~}{x}_{t_1},\mathrm{},\stackrel{~}{x}_{t_q})_s^t[w_p(p,\stackrel{~}{x}_p)$$

$$+F(p,\stackrel{~}{x}_p,w_{xx}(p,\stackrel{~}{x}_p))+L(2R+|\stackrel{~}{x}_p|+1,p)|w_x(p,\stackrel{~}{x}_p)]dp,$$

where the operator $`F`$ is constructed on the basis of $`\stackrel{~}{\delta }_m`$ and $`N_0L(2R+r,t)`$ in place of $`\delta `$ and both $`L,K`$ from Sec. 5, respectively, on the space of functions on $`^{d_m}`$ in place of $`^d`$. Again as in the proof of Lemma 2.4 we conclude that, for any $`S`$ we have

$$E_0^SI_{v^m(G^m)}(t,\stackrel{~}{x}_t)𝑑t=0.$$

Since, obviously, $`I_{G^m}(t,x)I_{v^m(G^m)}(t,v^m(t,x))`$ we get that (2.12) holds with $`G^m`$ in place of $`G`$. As we have pointed out in the beginning of the proof, this is exactly what we need. The theorem is proved.

## 3. A sufficient condition for precompactness

One of the conditions of Theorem 2.1 is that the sequence of distributions $`(^n)_{n1}`$ of $`x_{}^n`$ on $`𝒟`$ converge. One can always extract a convergent subsequence from a sequence which is precompact and here we want to give a simple sufficient condition for precompactness to hold. The assumptions of this section are somewhat different from the ones of Sec. 2 and this was the reason to treat the issue in a separate section. We take the objects introduced in Sec. 2 before Assumption 2.1 and instead of that assumption we require the following.

###### Assumption 3.1.

Assumption 2.1 is satisfied with condition (ii) replaced by the following weaker condition: For each $`r[0,\mathrm{})`$ there exists a locally integrable function $`L(r,t)`$ given on $`[0,\mathrm{})`$ such that $`L(r,t)`$ increases in $`r`$ and

$$|b^n(t,y_{})|+𝗍𝗋𝖺𝖼𝖾a^n(t,y_{})L(r,t)$$

whenever $`t>0`$, $`y_{}𝒟`$, and $`sup_{st}|y_s|r`$.

###### Lemma 3.1.

Under Assumptions 2.4 and 3.1 suppose that we are given $`_t^n`$ stopping times $`\tau _r^n`$, $`n=1,2,\mathrm{},r>0`$, and a finite function $`\alpha (r)`$ defined on $`(0,\mathrm{})`$ such that we have (i) for all $`n`$ and $`r`$,

$$|x_t^n|\alpha (r)\text{if}0t<\tau _r^n,$$
(3.1)
and (ii)

$$\underset{r\mathrm{}}{lim}\overline{\mathrm{lim}}_n\mathrm{}P^n(\tau _r^nT)=0T[0,\mathrm{}).$$
(3.2)
Then the sequence $`(^n)_{n1}`$ is precompact.

Proof. Define

$$G_t^n=_0^t\left[|b^n(s,x_{}^n)|+𝗍𝗋𝖺𝖼𝖾a^n(s,x_{}^n)\right]𝑑s,$$

$$F_t^n=G_t^n+_0^t_{|x|>1}\nu ^n(dsdx)$$

Owing to Assumption 2.4, by Theorem VI.4.18 and Remark VI.4.20 of  to prove the theorem it suffices to check that the sequence of distributions on $`𝒟`$ of $`F_{}^n`$ is $`C`$-tight, that is precompact and each limit point of this sequence is the distribution of a continuous process. In turn, due to Theorem VI.4.5 and Remark VI.4.6 (3) of , to prove the $`C`$-tightness it suffices to show that, for any $`T[0,\mathrm{})`$ and $`\epsilon >0`$,

$`\underset{N\mathrm{}}{lim}\overline{\mathrm{lim}}_n`$ $`P^n\left(\underset{tT}{sup}\left|F_t^n\right|N\right)=0,`$ (3.3)
$`\underset{\delta 0}{lim}\overline{\mathrm{lim}}_n`$ $`P^n\left(\underset{t+sT,0s\delta }{sup}\left|F_{t+s}^nF_t^n\right|\epsilon \right)=0.`$
In view of Assumption 2.4 we need only prove (3.3) for $`G^n`$ in place of $`F^n`$. We do this replacement and after that notice that, for any $`r`$, the left-hand side of the first equation in (3.3) is less than

$$\underset{N\mathrm{}}{lim}\overline{\mathrm{lim}}_nP^n\left(\underset{tT\tau _r^n}{sup}\left|G_t^n\right|N\right)+\overline{\mathrm{lim}}_n\mathrm{}P^n(\tau _r^nT).$$

Here the first term is zero for each $`r`$ since $`G_t^n`$ is continuous in $`t`$ and

$$|G_t^n|_0^tL(\alpha (r),u)𝑑u$$

for $`t<\tau _r^n`$ when by our assumptions $`|x_t^n|r`$. In addition, the second term can be made as small as we wish by choosing a sufficiently large $`r`$. This proves the first equation in (3.3).

Similarly, the left-hand side of the second equation in (3.3) with $`G^n`$ in place of $`F^n`$ is less than

$$\underset{\delta 0}{lim}\overline{\mathrm{lim}}_nP^n\left(\underset{t+sT\tau _r^n,0s\delta }{sup}\left|G_{t+s}^nG_t^n\right|\epsilon \right)+\overline{\mathrm{lim}}_n\mathrm{}P^n(\tau _r^nT),$$

where again the first term vanishes since

$$|G_{t+s}^nG_t^n|_t^{t+s}L(\alpha (r),u)𝑑u.$$

The lemma is proved.

###### Remark 3.1.

It may be worth noticing that the combination of assumptions (i) and (ii) of Lemma 3.1 is equivalent to the following: for any $`T(0,\mathrm{})`$, the sequence of distributions of $`sup_{tT}|x_t^n|`$ is tight or put otherwise

$$\underset{r\mathrm{}}{lim}\overline{\mathrm{lim}}_n\mathrm{}P^n(\underset{tT}{sup}|x_t^n|r)=0.$$

Lemma 3.1 reduces the investigation of precompactness to estimating $`|x^n|_t^{}`$. Here the following coercivity assumption turns out to be useful.

###### Assumption 3.2.

For any $`n`$, there exists a nonnegative $`_t^n`$-predictable function $`L_n(t)`$ such that

$$b^{ni}(t,x_{}^n)x_t^{ni}+𝗍𝗋𝖺𝖼𝖾a^n(t,x_{}^n)L_n(t)(1+|x_t^n|^2)$$
(3.4)
for almost all $`(\omega ,t)`$. Furthermore, for any $`T[0,\mathrm{})`$,

$$\underset{c\mathrm{}}{lim}\overline{\mathrm{lim}}_n\mathrm{}P^n(_0^TL_n(t)𝑑t>c)=0.$$

###### Remark 3.2.

Quite often one imposes a linear growth assumptions on the coefficients $`a^n`$ and $`b^n`$, which of course implies (3.4). However, say in one dimension, if $`a^n0`$ and $`b^{ni}(t,y_{})=b^n(t,y_t)`$ and $`b^n(t,y_t)0`$ for $`y_t<0`$ and $`b^n(t,y_t)0`$ for $`y_t>0`$, then (3.4) is satisfied with $`L0`$. Therefore generally (3.4) does not provide any control on the behavior of $`|b^n(t,y_t)|`$ for large $`|y_t|`$.

For that reason, Theorem 3.2 below does not follow from the results of  and .

###### Theorem 3.2.

Let

$$\underset{N\mathrm{}}{lim}\overline{\mathrm{lim}}_n\mathrm{}P^n(|x_0^n|N)=0$$
(3.5)
and let Assumptions 2.4, 3.1, and 3.2 be satisfied. Then the sequence $`(^n)_{n1}`$ is precompact. Furthermore, let $`k`$ be an integer and $`f^n(t,x)`$ be Borel $`^k`$-valued functions defined on $`(0,\mathrm{})\times ^d`$ such that $`|f^n(t,x)|L(|x|,t)`$ for all $`t,x,n`$. Define

$$y_t^n=_0^tf^n(s,x_s^n)𝑑s.$$

Then the sequence of distributions of $`(x_{}^n,y_{}^n)`$ on $`𝒟([0,\mathrm{}),^{d+k})`$ is precompact as well.

Proof. We are going to use a method introduced in Sec. 4, Ch. II of . Define

$$z_t^n=x_t^nj_t^n,\varphi _n(t)=\mathrm{exp}\left(2_0^tL_n(s)𝑑s\right),u_n(t,x)=(1+|x|^2)\varphi _n(t).$$

Also as in the proof of Lemma 2.2, use notation (2) and (2.9) and notice that due to special choice of $`u`$, we have $`R_t^n(z_{})0`$.

Then by using Itô’s formula, we get that the process

$$M_t^n:=(1+|z_t^n|^2)\varphi _n(t)(1+|x_0^n|^2)$$

$$_0^t\left[2z_s^{ni}b^{ni}(s,x_{}^n)+2𝗍𝗋𝖺𝖼𝖾a^n(s,x_{}^n)2L_n(s)(1+|z_s^n|^2)\right]\varphi _n(s)𝑑s$$
(3.6)
is a local martingale.

Now take $`\gamma ^n`$ again from (2.4) and remember that $`z_s^n=x_s^n`$ for $`s<\gamma ^n`$, so that the expression in the brackets in (3.6) is negative due to Assumption 3.2. Then we see that

$$H_t^n:=(1+|z_{t\gamma ^n}^n|^2)\varphi _n(t\gamma ^n)(1+|x_0^n|^2)$$

is a local supermartingale. For any constant $`N>0`$, the process $`H_t^nI_{|x_0^n|N}`$ also is a local supermartingale and, since it is bounded from below by the constant $`(1+N^2)`$, it is a supermartingale. Therefore, upon defining

$$\kappa _r^n=inf\{t0:\underset{st}{sup}|x_s^n|>r\},\tau _r^n=\gamma ^n\kappa _r^n,$$

we get that, for any $`T[0,\mathrm{})`$,

$$E^n\left(1+|z_{T\tau _r^n}^n|^2\right)\varphi _n(T\tau _r^n)I_{|x_0^n|N}1+N^2,$$

$$E^n\left(1+|z_{\tau _r^n}^n|^2\right)\varphi _n(\tau _r^n)I_{|x_0^n|N,\tau _r^nT<\gamma ^n}1+N^2.$$

Then we notice that on the interval $`[0,\gamma ^n)`$ the process $`j_t^n`$ is identically zero. Hence, for $`\tau _r^nT<\gamma ^n`$ we have

$$|z_{\tau _r^n}^n|=|x_{\tau _r^n}^n|=|x_{\kappa _r^n}^n|r$$

and we obtain

$$e^c(1+r^2)P^n\left(_0^TL_n(t)𝑑tc,|x_0^n|N,\tau _r^nT<\gamma ^n\right)1+N^2,$$

$$\underset{r\mathrm{}}{lim}\overline{\mathrm{lim}}_n\mathrm{}P^n(|x_0^n|N,\tau _r^nT<\gamma ^n)=0.$$

This holds for any $`N`$ and along with assumption (3.5) and Remark 2.5 leads first to to

$$\underset{r\mathrm{}}{lim}\overline{\mathrm{lim}}_n\mathrm{}P^n(\tau _r^nT<\gamma ^n)=0$$

and then to (3.2).

Finally, observe that (3.1) is obviously satisfied even if $`0t<\kappa _r^n`$ rather than $`0t<\tau _r^n`$. Hence, by referring to Lemma 3.1 we finish proving the assertion of our theorem regarding the distributions of $`x_{}^n`$.

Lemma 3.1 yields the result for $`(x_{}^n,y_{}^n)`$ as well since, obviously, for $`0t<r\tau _r^n`$, we have

$$|y_t^n|_0^rL(r,s)𝑑s.$$

The theorem is proved.

## 4. An example of queueing model

We consider a particular queueing system with $`d`$ service stations and $`d+1`$ incoming streams of customers. We refer the reader to  for relations of this system to practical problems. The first $`d`$ streams are composed of customers “having appointments”, meaning that the customers from the $`i`$th stream only go to the $`i`$th service station. The last stream, to which we assign number 0, is the one of “free” customers who, upon “checking in”, are routed to the service stations according to certain rule to be described later. We assume that each service station consists of infinitely many servers, so that infinitely many customers can be served at each station simultaneously. Denote by $`Q_t^i`$ the number of customers being served at the $`i`$th station at time $`t`$.

With station $`i`$, $`i=1,\mathrm{},d`$, we associate a “cost” $`\alpha _i>0`$ and suppose that a “free” customer arriving at time $`t`$ is directed to the $`i`$th station if $`i`$ is the smallest integer satisfying

$$\alpha _iQ_t^i\alpha _jQ_t^j\text{for all}ji.$$

Such a routing policy is called load-balancing in . Here and below in this section the summation convention over repeated indices is not enforced.

We take some numbers $`\lambda _0,\mathrm{},\lambda _d>0`$ and assume that the $`i`$th stream of customers forms a Poisson process with parameter $`\lambda _i`$. To describe the service times we fix some “thresholds” $`N^1,\mathrm{},N^d`$, which are positive integers, and assume that, given $`0<Q_t^i<N^i`$, each of $`Q_t^i`$ customers at the $`i`$th station

(i) has its own server,

(ii) spends with its server a random time having exponential distribution with parameter 1,

(iii) after having been served leaves the system.

However, given $`Q_t^iN^i`$, the service is organized differently. All $`Q_t^i`$ customers are divided into disjoint groups each consisting of two persons apart from at most one group having only one member. Then each of those groups is supposed to get service according to the rules (i)-(iii) above. By the way, it is not hard to understand that on average both discipline of servicing yield the same number of customers having been served during one unit of time.

Finally, we assume that all service times and arrival processes are as independent as they can be.

Now we describe the model in rigorous terms. For any numbers $`y^1,\mathrm{},y^d`$ define

$$\underset{k=1,\mathrm{},d}{𝖺𝗋𝗀𝗆𝗂𝗇}y^k=i$$

if $`i`$ is the least of $`1,\mathrm{},d`$ such that $`y^iy^k`$ for $`ki`$. For $`x^d`$ and $`i=1,\mathrm{},d`$, let

$$\delta ^i(x)=\{\begin{array}{cc}1\hfill & \text{if}i=\underset{k=1,\mathrm{},d}{𝖺𝗋𝗀𝗆𝗂𝗇}\alpha _kx^k,\hfill \\ 0\hfill & \text{otherwise}.\hfill \end{array}$$

Take independent Poisson processes $`\mathrm{\Pi }_t^0,\mathrm{},\mathrm{\Pi }_t^d`$ with parameters $`\lambda _0,\mathrm{},\lambda _d`$, respectively. Then we think of the number of arrivals at the $`i`$th station as given by

$$A_t^i=_0^t\delta ^i(Q_s)𝑑\mathrm{\Pi }_s^0+\mathrm{\Pi }_t^i,$$

where $`Q_s=(Q_s^1,\mathrm{},Q_s^d)`$ and $`Q_t^i`$ are some integer-valued right continuous processes having left limits. To model the number of departures $`D_t^i`$ from the $`i`$th station up to time $`t`$ we take Poisson processes $`\mathrm{\Pi }_t^{ij}`$ and $`\mathrm{\Lambda }_t^{ij}`$, $`i=1,\mathrm{},d`$, $`j=1,2,\mathrm{}`$, having parameter 1 and mutually independent and independent of $`(\mathrm{\Pi }_{}^0,\mathrm{},\mathrm{\Pi }_{}^d)`$. Then we define

$$D^i(t)=_0^tI_{N^i>Q_s^i}\underset{j1}{}I_{Q_s^ij}d\mathrm{\Pi }_s^{ij}$$

$$+_0^tI_{N^iQ_s^i}\underset{j1}{}\left(I_{Q_s^i2j}+I_{Q_s^i+12j}\right)d\mathrm{\Lambda }_s^{ij}.$$

To be consistent with the description, $`Q_t`$ should satisfy the balance equations $`Q_t^i=Q_0^i+A_t^iD_t^i`$. Thus, we are going to investigate the system of equations

$$dQ_t^i=\delta ^i(Q_t)d\mathrm{\Pi }_t^0+d\mathrm{\Pi }_t^iI_{N^i>Q_t^i}\underset{j1}{}I_{Q_t^ij}d\mathrm{\Pi }_t^{ij}$$

$$I_{N^iQ_t^i}\underset{j1}{}\left(I_{Q_t^i2j}+I_{Q_t^i+12j}\right)d\mathrm{\Lambda }_t^{ij}i=1,\mathrm{},d.$$
(4.1)
Needless to say that we assume that all the Poisson processes we are dealing with are given on a probability basis satisfying the “usual” assumptions. We also assume that the initial condition $`Q_0`$ is independent of the Poisson processes.

Notice that for any initial condition $`Q_0`$ there is a unique solution of (4.1). Indeed obviously, for any solution we have $`Q_t^iQ_0^i+\mathrm{\Pi }_t^0+\mathrm{\Pi }_t^i`$, so that, while solving (4.1) for $`t[0,T]`$, one can safely replace the infinite sums in (4.1) with the sums over $`jQ_0^i+\mathrm{\Pi }_T^0+\mathrm{\Pi }_T^i`$. After that one solves (4.1) on each $`\omega `$ noticing that between the jumps of the Poisson processes $`Q_t`$ is constant and the jumps of $`Q_t`$ themselves are given by (4.1).

For obvious reasons we rewrite (4.1) in terms of representation (2.1). First, for $`k=0,\mathrm{},d,i=1,\mathrm{},d,j1`$, we define

$$\overline{\mathrm{\Pi }}_t^k=\mathrm{\Pi }_t^k\lambda _kt,\overline{\mathrm{\Pi }}_t^{ij}=\mathrm{\Pi }_t^{ij}t,\overline{\mathrm{\Lambda }}_t^{ij}=\mathrm{\Lambda }_t^{ij}t.$$

These processes are square integrable martingales with

$$\overline{\mathrm{\Pi }}^k_t=\lambda _kt,\overline{\mathrm{\Pi }}^{ij}_t=t,\overline{\mathrm{\Lambda }}^{ij}_t=t.$$

Next, for $`i=1,\mathrm{},d`$, define

$$M_t^i=_0^t\delta ^i(Q_s)𝑑\overline{\mathrm{\Pi }}_s^0+\overline{\mathrm{\Pi }}_t^i_0^tI_{N^i>Q_s^i}\underset{j1}{}I_{Q_s^ij}d\overline{\mathrm{\Pi }}_s^{ij}$$

$$_0^tI_{N^iQ_s^i}\underset{j1}{}\left(I_{Q_s^i2j}+I_{Q_s^i+12j}\right)d\overline{\mathrm{\Lambda }}_s^{ij},$$

which are at least locally square integrable martingales. Then after observing that, for any integer $`q0`$,

$$\underset{j1}{}I_{qj}=q,\underset{j1}{}(I_{q2j}+I_{q+12j})=q,$$

we turn equation (4.1) into the equation

$$dQ_t^i=(\lambda _0\delta ^i(Q_t)+\lambda _iQ_t^i)dt+dM_t^i.$$
(4.2)
In order to explain what follows (in no way is this explanation used in the proof of Theorem 4.1 below), notice that (4.2) seems to imply that

$$(EQ_t^i)^{}=\lambda _0E\delta ^i(Q_t)+\lambda _iEQ_t^i.$$
(4.3)
We are interested in the behavior of $`Q_t`$ when $`\lambda _i`$’s are large but $`\lambda _0`$ is much smaller than $`\lambda _1,\mathrm{},\lambda _d`$. Then, on the one hand, $`EQ_t^i`$ should be large for moderate $`t`$ and, on the other hand, the first term on the right in (4.3) can be neglected. In that situation equation (4.3) turns out to have a stable point $`EQ_t^i\lambda _i`$. This means that, if for the initial condition we have $`EQ_0^i=\lambda _i`$, then $`EQ_t^i=\lambda _i`$ for all $`t`$. Notice that since $`\lambda _i`$’s are large, so should be $`EQ_0^i`$.

Therefore, we write $`\lambda _i=\overline{\lambda }_i+\mathrm{\Delta }\lambda _i`$, where $`\mathrm{\Delta }\lambda _i`$ will be assumed to have order of $`\lambda _0`$, denote

$$\overline{Q}_t^i=Q_t^i\overline{\lambda }_i$$

and rewrite (4.2) in terms of $`\overline{Q}_t`$. At this moment we introduce the assumption that

$$\overline{\lambda }_i\alpha _i=n,i=1,\mathrm{},d,$$
(4.4)
with $`n`$ being an integer (independent of $`i`$) to be sent to infinity. This is convenient due to the simple fact that then

$$\delta ^i(x)=\delta ^i(x\overline{\lambda }).$$

In this notation (4.2) becomes

$$d\overline{Q}_t^i=(\lambda _0\delta ^i(\overline{Q}_t)+\mathrm{\Delta }\lambda _i\overline{Q}_t^i)dt+dM_t^i.$$

To understand what kind of normalization is natural we compute the quadratic characteristics of $`M_t^i`$. Notice that, for any integer $`q0`$, we have

$$\underset{j1}{}(I_{q2j}+I_{q+12j})^2=\underset{j1}{}(I_{q2j}+2I_{q2j}+I_{q+12j})$$

$$=3[q/2]+[(q+1)/2]=:qf(q),$$

where $`[a]`$ is the integer part of $`a`$. By the way, we can only define $`f(q)`$ by the above formula for all real $`q>0`$. If $`q0`$, we let $`f(q)=0`$. Then

$$0f2,\underset{q\mathrm{}}{lim}f(q)=2.$$
(4.5)
It follows that

$$dM_t^{ii}=[\lambda _0\delta ^i(\overline{Q}_t)+\lambda _i+Q_t^iI_{Q_t^i<N^i}+Q_t^if(Q_t^i)I_{Q_t^iN^i}]dt.$$

Also due to independence of our Poisson processes and the fact that $`\delta ^i\delta ^j=0`$ for $`ij`$, we get

$$M_t^{ij}=0\text{for}ij.$$

If we believe that, in a sense, $`Q_t^i\lambda _i`$, then $`Q_t^i/\lambda _i`$ should converge as well as $`M_t^i/\sqrt{\lambda }_i`$, and we see that it is natural to expect $`\overline{Q}_t^i/\sqrt{\lambda }_i`$ to converge to certain limit. To make the model more meaningful we also assume that the thresholds $`N^i`$’s are large and roughly speaking proportional to $`\lambda _i`$. In this way we convince ourselves that the following result seems natural.

###### Theorem 4.1.

Let $`\alpha _1,\mathrm{},\alpha _d>0`$ and $`\mu _0,\mathrm{},\mu _d0`$ and $`\nu _1,\mathrm{},\nu _d`$ be fixed parameters. For $`n=1,2,\mathrm{}`$ define

$$\lambda _i=n\alpha _i^1+\mu _i\sqrt{n},i=1,\mathrm{},d,\lambda _0=\mu _0\sqrt{n},$$

$$N^i=n\alpha _i^1+\nu _i\sqrt{n},i=1,\mathrm{},d.$$

Let $`Q_t=Q_t^n`$ be the solution of (4.1) with certain initial condition independent of the Poisson processes and introduce

$$x_t^n=n^{1/2}(Q_t^{n1}n\alpha _1^1,\mathrm{},Q_t^{nd}n\alpha _d^1).$$

Let $`^n`$ be the distribution of $`x_{}^n`$ on $`𝒟`$. Finally, assume that the distribution of $`x_0^n`$ weakly converges to a distribution $`F_0`$ as $`n\mathrm{}`$.

Then, as $`n\mathrm{}`$, $`^n`$ converges weakly to the distribution of a solution of the following system

$$dx_t^i=(\mu _0\delta ^i(x_t)+\mu _ix_t^i)dt+\alpha _i^{1/2}(2+I_{x_t^i\nu _i})^{1/2}dw_t^i,i=1,\mathrm{},d$$
(4.6)
considered on some probability space with $`w_t`$ being a $`d`$-dimensional Wiener process and $`x_0`$ distributed according to $`F_0`$.

Proof. First of all notice that (4.6) has solutions on appropriate probability spaces and any solution has the same distribution on the space of $`^d`$-valued continuous functions. This follows from the fact that an obvious change of probability measure allows us to consider the case with no drift terms in (4.6). In that case (4.6) becomes just a collection of unrelated one-dimensional equations with uniformly nondegenerate and bounded diffusion. Weak unique solvability of such equations is a very well known fact (see, for instance, Theorems 2 and 3 of ).

In the proof of convergence we will be using Theorems 3.2 and 2.1. Observe that Assumption 2.4 is satisfied since $`x_t^{ni}`$ has no jumps bigger than $`2n^{1/2}`$ and $`\nu ^n((0,\mathrm{})\times B_a^c)=0`$ if $`n>4d/a^2`$. Furthermore, if in the argument before the theorem we take $`\overline{\lambda }_i=n\alpha _i^1`$, so that (4.4) holds, and let $`\mathrm{\Delta }\lambda _i=\mu _i\sqrt{n},`$ then after noticing that, by definition,

$$Q^{ni}=n^{1/2}x_t^{ni}+n\alpha _i^1,$$

we easily obtain

$$dx_t^n=b^n(x_t^n)dt+dm_t^n,m^n_t=_0^ta^n(x_s^n)𝑑s,$$
(4.7)
where

$$b^{ni}(x)=\mu _0\delta ^i(x)+\mu _ix^i,a^{nij}(x)=\delta ^{ij}(n^{1/2}\mu _0\delta ^i(x)+\alpha _i^1+\mu _in^{1/2}$$

$$+(x^in^{1/2}+\alpha _i^1)_+[I_{x^i<\nu ^i}+f(n^{1/2}x^i+n\alpha _i^1)I_{x^i\nu ^i}]).$$

Upon remembering (4.5) we see that, for a constant $`N`$ and all $`n`$ and $`x`$, we have $`|b^n(x)|+𝗍𝗋𝖺𝖼𝖾a^n(x)N(1+|x|)`$, which shows that Assumptions 2.1 and 3.1, equivalent in our present situation, and Assumption 3.2 are satisfied. By Theorem 3.2 the sequence $`(^n)`$ is precompact.

Next, obviously Assumption 2.2 is satisfied if we take

$$G=\{(t,x):t>0,\underset{i,j=1}{\overset{d}{}}(\alpha _ix^i\alpha _jx^j)(x^i\nu _i)=0\},$$

$$b^i(x)=\mu _0\delta ^i(x)+\mu _ix^i,a^{ij}(x)=\delta ^{ij}\alpha _i^1\left(1+I_{x^i<\nu ^i}+2I_{x^i\nu ^i}\right).$$

Finally, Assumption 2.3 is satisfied since $`deta^n(x)\alpha _1^1\mathrm{}\alpha _d^1`$ everywhere.

By Theorem 2.1 every convergent subsequence of $`(^n)`$ converges to the distribution of a solution of (4.6) with the above specified initial distribution. Since all such solutions have the same distribution, the whole sequence $`(^n)`$ converges to the distribution of any solution of (4.6). The theorem is proved.

###### Remark 4.1.

In Theorem 4.1 we assume that $`Q_0^{ni}`$ goes to infinity with certain rate, namely $`Q_0^{ni}n\alpha _i^1`$. Interestingly enough, if we change the rate, the diffusion approximation changes. Indeed, keep all the assumption of Theorem 4.1 apart from the assumption that $`x_0^n`$ converges in distribution and instead assume that, for a $`\gamma [0,\mathrm{})`$ say for $`\gamma =0`$,

$$n^{1/2}(Q_0^{n1}n\gamma \alpha _1^1,\mathrm{},Q_0^{nd}n\gamma \alpha _d^1)$$

converges in law to a random vector. Notice that the case $`\gamma =1`$ is covered by Theorem 4.1. We claim that, for $`\gamma >1`$, the processes

$$y_t^n=n^{1/2}(Q_t^{n1}nq_t\alpha _1^1,\mathrm{},Q_t^{nd}nq_t\alpha _d^1),$$

where $`q_t=1+(\gamma 1)e^t`$, weakly converge to a solution of the system

$$dy_t^i=(\mu _0\delta ^i(y_t)+\mu _iy_t^i)dt+\alpha _i^{1/2}(1+q_t)^{1/2}dw_t^i,i=1,\mathrm{},d,$$

and for $`\gamma [0,1)`$ weakly converge to a solution of

$$dy_t^i=(\mu _0\delta ^i(y_t)+\mu _iy_t^i)dt+\alpha _i^{1/2}(1+2q_t)^{1/2}dw_t^i,i=1,\mathrm{},d.$$

Indeed, we have

$$Q^{ni}=n^{1/2}y_t^{ni}+nq_t\alpha _i^1,dq_t=(1q_t)dt,$$

$$dy_t^n=b^n(y_t^n)dt+dm_t^n,m^n_t=_0^ta^n(y_s^n)𝑑s,$$

where

$$b^{ni}(x)=\mu _0\delta ^i(x)+\mu _ix^i,a^{nij}(x)=\delta ^{ij}(n^{1/2}\mu _0\delta ^i(x)+\alpha _i^1$$

$$+\mu _in^{1/2}+(x^in^{1/2}+q_t\alpha _i^1)_+[I_{(\gamma 1)e^t<\alpha _i(\nu ^ix^i)n^{1/2}}$$

$$+f(n^{1/2}x^i+nq_t\alpha _i^1)I_{(\gamma 1)e^t\alpha _i(\nu ^ix^i)n^{1/2}}]).$$

As in the proof of Theorem 4.1 one checks that the sequence of distributions of $`y_{}^n`$ is precompact. Furthermore, obviously, for any $`x`$

$$a^{nij}(x)\{\begin{array}{cc}\delta ^{ij}\alpha _i^1(1+q_t)\hfill & \text{if}\gamma <1,\hfill \\ \delta ^{ij}\alpha _i^1(1+2q_t)\hfill & \text{if}\gamma >1,\hfill \end{array}$$

and this yields our claim in the same way as in the proof of Theorem 4.1.

###### Remark 4.2.

We tried to explain before the proof of Theorem 4.1 why its statement looks natural. Now we can also explain how the function $`q_t`$ from Remark 4.1 was found. The explanations is based on a kind of law of large numbers which in queueing theory is associated with so-called “fluid approximations”. Generally, “fluid approximations” can also be derived from Theorems 3.2 and 2.1. For instance, if $`\lambda _k=\lambda _k(n)`$ and $`\lambda _k(n)/n\beta _k`$ as $`n\mathrm{}`$, and $`\beta _0=0`$, then under the condition that $`Q_0^n/n`$ converges in probability to a constant vector, the processes $`Q_t^n/n`$ converge in probability uniformly on each finite time interval to the deterministic solution of the system

$$dq_t^i=(\beta _iq^i)dt,i=1,\mathrm{},d.$$

This fact obviously follows from Theorems 3.2 and 2.1 applied to (4.2) written in terms of $`z_t^n:=Q_0^n/n`$:

$$dz_t^{ni}=b^{ni}(z_t^n)dt+dM_t^{ni},$$

with $`dM^n_t^{ij}=a_t^n(z_t^n)dt`$,

$$b^{ni}(x)=\delta ^i(x)\lambda _0/n+\lambda _i/nx,|a_t^{nij}(x)|Nn^1(1+|x|),$$

where the constant $`N`$ is independent of $`x,n,t`$.

The following observation can be generalized so as to be used in various control problems in which optimal controls are discontinuous with respect to space variables.

###### Remark 4.3.

It turns out that many discontinuous functionals of $`x_{}^n`$ converge in law to corresponding functionals of $`x_{}`$. For instance take a Borel vector-valued function $`f(x)`$ on $`^d`$ such that the set of its discontinuities lies in a closed set $`J^d`$ having Lebesgue measure zero. Also assume that $`f`$ is locally bounded, that is bounded on any ball in $`^d`$ but may behave in any way at infinity. As an example, one can take $`f(x)=(\delta ^1(x),...,\delta ^d(x))`$. Then, for

$$y_t^n:=_0^tf(x_s^n)𝑑s,y_t:=_0^tf(x_s)𝑑s$$

we have that the distributions of $`(x_{}^n,y_{}^n)`$ converge weakly to the distribution of $`(x_{},y_{})`$.

Indeed, append (4.7) with one more equation: $`dy_t^n=f(x_t^n)dt`$ and consider the couple $`z_{}^n=(x_{}^n,y_{}^n)`$ as a process in $`^{d+1}`$. Obviously Assumptions 2.1 and Assumptions 2.4 are satisfied for thus obtained couple.

Furthermore, define

$$H=\{(t,x,y):t>0,y,xJ\text{or}\underset{i,j=1}{\overset{d}{}}(\alpha _ix^i\alpha _jx^j)(x^i\nu _i)=0\}.$$

Since $`J`$ is closed, for any $`t>0`$ and $`(x,y)H_t`$, the function $`f`$ (independent of $`y`$) is continuous in a neighborhood of $`x`$, which along with the argument in the proof of Theorem 4.1 shows that Assumption 2.2 is satisfied for $`z_t^n`$. Finally, for

$$H^mH,d_m=d,v^{mi}(t,x,y)=x^i,i=1,\mathrm{},d,$$

we have

$$v^m(H_t)=\{x:xJ\text{or}\underset{i,j=1}{\overset{d}{}}(\alpha _ix^i\alpha _jx^j)(x^i\nu _i)=0\}$$

which has $`d`$-dimensional Lebesgue measure zero and

$$detV^{nm}(t,x_{}^n,y_{}^n)=deta^n(x_t^n)\alpha _1^1\mathrm{}\alpha _d^1>0.$$

Hence Assumption 2.5 is satisfied as well. This along with precompactness of distributions of $`(x_{}^n,y_{}^n)`$ guaranteed by Theorem 3.2 and along with Theorem 2.5 shows that any convergent subsequence of distributions of $`(x_{}^n,y_{}^n)`$ converges to the distribution of a process $`(x_{},y_{})`$, whose first component satisfies (4.6) and the second one obeys $`dy_t=f(x_t)dt`$.

Thus, we get our assertion for a subsequence instead of the whole sequence. However, as we have noticed above, solutions of (4.6) are weakly unique and this obviously implies that solutions of the system (4.6) appended with $`dy_t=f(x_t)dt`$ are also weakly unique. Therefore, the whole sequence of distributions of $`(x_{}^n,y_{}^n)`$ converges.

## 5. An $`L_p`$ estimate

Let $`d1`$ be an integer, $`(\mathrm{\Omega },,P)`$ be a complete probability space, and $`(_t,t0)`$ be an increasing filtration of $`\sigma `$-fields $`_t`$ with $`_0`$ being complete with respect to $`P,`$. Let $`K(r,t)`$ and $`L(r,t)`$ be two nonnegative deterministic function defined for $`r,t>0`$. Assume that they increase in $`r`$ and are locally integrable in $`t`$, so that

$$_0^T(K(r,t)+L(r,t))𝑑t<\mathrm{}r,T(0,\mathrm{}).$$

Let $`\delta (t,x)`$ be a nonnegative deterministic function defined for $`t0`$ and $`x^d`$ and satisfying $`\delta (t,x)K(|x|,t)`$. Define $`A(t,x)`$ as the set of all symmetric nonnegative $`d\times d`$-matrices $`a`$ such that

$$\delta (t,x)|\lambda |^2a^{ij}\lambda ^i\lambda ^jK(|x|,t)|\lambda |^2\lambda ^d.$$

Here, as well as everywhere in the article apart from Section 4, we use the summation convention. For any symmetric $`d\times d`$-matrix $`v=(v_{ij})`$ define

$$F(t,x,v)=\underset{aA(t,x)}{sup}a^{ij}v_{ij}.$$

As is easy to see, if $`\lambda _i(v)`$, $`i=1,\mathrm{},d`$, are eigenvalues of $`v`$ numbered in any order, then

$$F(t,x,v)=\underset{i=1}{\overset{d}{}}\chi (t,x,\lambda _i(v)),$$

where $`\chi (t,x,\lambda )=K(|x|,t)\lambda `$ for $`\lambda 0`$ and $`\chi (t,x,\lambda )=\delta (t,x)\lambda `$ for $`\lambda 0`$.

Remember that $`C_0^{\mathrm{}}(^{d+1})`$ is the set of all infinitely differentiable real-valued function $`u=u(t,x)`$ on $`^{d+1}`$ with compact support.

###### Theorem 5.1.

Let $`x_t`$, $`t0`$, be an $`^d`$-valued $`_t`$-adapted continuous process such that, for any $`uC_0^{\mathrm{}}(^{d+1})`$, the following process is a local $`_t`$-supermartingale:

$$u(t,x_t)_0^t\left[u_s(s,x_s)+F(s,x_s,u_{xx}(s,x_s))+L(x_t^{},s)|u_x(s,x_s)|\right]𝑑s,$$
(5.1)
where $`u_x`$ is the gradient of $`u`$ with respect to $`x`$, $`u_{xx}`$ is the matrix of second-order derivatives $`u_{x^ix^j}`$ of $`u`$,

$$u_s=u/s,u_{x^ix^j}=^2u/x^ix^j.$$

Then for any $`r,T(0,\mathrm{})`$ there exists a constant $`N<\mathrm{}`$, depending only on $`r,L(r,T)`$, and $`d`$ (but not on $`K(r,t)`$), such that, for any nonnegative Borel $`f(t,x)`$, we have

$$E_0^{T\tau _r}\delta ^{d/(d+1)}(t,x_t)f(t,x_t)𝑑tNf_{L_{d+1}([0,T]\times B_r)},$$
(5.2)
where

$$f_{L_{d+1}([0,T]\times B_r)}=\left(_0^T_{|x|r}f^{d+1}(t,x)𝑑x𝑑t\right)^{1/(d+1)}.$$

$`B_r`$ is the open ball in $`^d`$ of radius $`r`$ centered at the origin, and $`\tau _r`$ is the first exit time of $`x_t`$ from $`B_r`$.

Proof. First of all notice that for any $`uC_0^{\mathrm{}}(^{d+1})`$ expression (5.1) makes sense. Indeed, if $`r`$ is such that $`u(t,x)=0`$ for $`|x|r`$ and all $`t`$, then the integrand is bounded by a constant times

$$_0^t[1+K(r,s)+L(x_t^{}+r,s)]𝑑s,$$

which is finite since each trajectory of $`x_s`$ is bounded on $`[0,t]`$. Also observe that usual approximation techniques allows us to only concentrate on the case of infinitely differentiable functions $`f0`$ vanishing for $`|x|r`$ for some $`r`$. We fix $`r`$, such a function $`f`$, and a nonnegative function $`\zeta C_0^{\mathrm{}}(^{d+1})`$ with unit integral and support in the unit ball of $`^{d+1}`$ centered at the origin. Below, for any locally bounded Borel function $`g(t,y)`$ and $`\epsilon >0`$ we use the notation

$$g^{(\epsilon )}=g\zeta _\epsilon ,\text{where}\zeta _\epsilon (t,x)=\epsilon ^{d1}\zeta (t/\epsilon ,x/\epsilon ).$$

Next, we need Theorem 2 of , which states the following. There exist constants $`\alpha =\alpha (d)>0`$ and $`N_r=N(r,d)<\mathrm{}`$ and there exists a bounded Borel nonpositive function $`z`$ on $`^{d+1}`$ which is convex on $`B_{2r}`$ for each fixed $`t`$ and is such that, for each nonnegative symmetric matrix $`a`$,

$$\alpha (deta)^{1/(d+1)}f^{(\epsilon )}z_t^{(\epsilon )}+a^{ij}z_{x^ix^j}^{(\epsilon )}\text{for}\epsilon r,t,|x|r,$$
(5.3)
$$|z_x^{(\epsilon )}|2r^1|z^{(\epsilon )}|\text{for}\epsilon r/2,t,|x|r,$$
(5.4)
$$|z|N_rf_{L_{d+1}(\times B_r)}\text{in}\times B_{2r}.$$
(5.5)
Notice that in Theorem 2 of  there is the minus sign in front of $`z_t^{(\epsilon )}`$. However, (5.3) is true as is, since one can replace $`t`$ with $`t`$ and this does not affect any other term. Observe that (5.5) obviously implies that for $`\epsilon r`$, we have

$$|z^{(\epsilon )}|N_rf_{L_{d+1}(\times B_r)}\text{in}\times B_r.$$
(5.6)
Fix an $`\epsilon >0`$. We claim that the process

$`\xi _t:=z^{(\epsilon )}(t\tau _r,x_{t\tau _r}){\displaystyle _0^{t\tau _r}}[z_s^{(\epsilon )}(s,x_s)`$ (5.7)
$`+F(s,x_s,z_{xx}^{(\epsilon )}(s,x_s))+L(r,s)|z_x^{(\epsilon )}(s,x_s)|]ds`$
is a local supermartingale. To prove the claim it suffices to prove that (5.7) is a local supermartingale on $`[0,T]`$ for every $`T[0,\mathrm{})`$. Fix a $`T[0,\mathrm{})`$ and concentrate on $`t[0,T]`$. Change $`z^{(\epsilon )}`$ outside of $`[0,T]\times B_r`$ in any way with the only requirement that the new function, say $`u`$ belong to $`C_0^{\mathrm{}}(^{d+1})`$. Then the process (5.1) is a local supermartingale. Replacing $`t`$ with $`t\tau _r`$ yields a local supermartingale again. Also observe that subtracting an increasing continuous process from a local supermartingale preserves the property of being a local supermartingale. After noticing that for $`0<st\tau _rT`$, we have $`|x_s|r`$ and $`L(x_s^{},s)L(r,s)`$ and we conclude that

$$\eta _t:=u(t\tau _r,x_{t\tau _r})_0^{t\tau _r}[z_s^{(\epsilon )}(s,x_s)$$

$$+F(s,x_s,z_{xx}^{(\epsilon )}(s,x_s))+L(r,s)|z_x^{(\epsilon )}(s,x_s)|]ds$$

is a local supermartingale on $`[0,T]`$. Since

$$\eta _t\xi _t=[u(0,x_0)z^{(\epsilon )}(0,x_0)]I_{\tau _r=0},$$

is a bounded martingale, (5.7) is a local supermartingale indeed.

After having proved our claim we notice that for each $`T[0,\mathrm{})`$ the process (5.7) is obviously bounded on $`[0,T]`$. Therefore (5.7) is a supermartingale and

$$E\xi _TI_{\tau _r>0}E\xi _0I_{\tau _r>0}\underset{|x|r}{sup}|z^{(\epsilon )}(0,x)|,$$

which along with (5.6), (5.4), and the fact that $`z0`$, yields that for any $`\epsilon r/2`$

$$E_0^{T\tau _r}\left[z_s^{(\epsilon )}(s,x_s)F(s,x_s,z_{xx}^{(\epsilon )}(s,x_s))\right]𝑑s$$

$$N_rf_{L_{d+1}([0,T]\times B_r)}\left(1+2r^1E_0^{T\tau _r}L(r,s)𝑑s\right).$$

Here, owing to (5.3),

$$z_s^{(\epsilon )}F(s,x,z_{xx}^{(\epsilon )})=\underset{aA(s,x)}{inf}\left[z_s^{(\epsilon )}+a^{ij}z_{x^ix^j}^{(\epsilon )}\right]$$

$$f^{(\epsilon )}\alpha \underset{aA(s,x)}{inf}(deta)^{1/(d+1)}=f^{(\epsilon )}\alpha \delta ^{d/(d+1)}.$$

Hence

$$E_0^{t\tau _r}\delta ^{d/(d+1)}f^{(\epsilon )}(s,x_s)𝑑sNf_{L_{d+1}([0,T]\times B_r)}$$

with

$$N=N_r\alpha ^1\left(1+2r^1_0^TL(r,s)𝑑s\right).$$

Finally we let $`\epsilon 0`$ and use the continuity of $`f`$ which guarantees that $`f^{(\epsilon )}f`$. Then upon remembering that $`f0`$ and using Fatou’s theorem, we arrive at (5.2) with the above specified $`N`$. The theorem is proved.

###### Remark 5.1.

Actually, we did not use the continuity of $`x_t`$. We could have only assumed that $`x_t`$ is a separable measurable process. However, then it turns out that the assumption about the processes (5.1) implies that $`x_t`$ is continuous anyway and moreover that $`x_t`$ is an Itô process (see ).


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# Escape from a zero current state in a one dimensional array of Josephson junctions

## Abstract

A long one dimensional array of small Josephson junctions exhibits Coulomb blockade of Cooper pair tunneling. This zero current state exists up to a switching voltage, $`V_{sw}`$, where there is a sudden onset of current. In this paper we present histograms showing how $`V_{sw}`$ changes with temperature for a long array and calculations of the corresponding escape rates. Our analysis of the problem is based on the existence of a voltage dependent energy barrier and we do not make any assumptions about its shape. The data divides up into two temperature regimes, the higher of which can be explained with Kramers thermal escape model. At low temperatures the escape becomes independent of temperature.

preprint: APS/123-QED

Escape from a metastable state can be used to describe a wide variety of physical phenomenon, from solid state diffusion DiFoggio and Gomer (1982) to magnetic switching Sun et al. (2001), and has for a long time attracted attention from both a theoretical and an experimental point of view (for a review see e.g. Hänggi et al. (1990)). Thermal escape over an energy barrier was studied theoretically by Kramers in the 1940s Kramers (1940). More recently, the influence of quantum tunneling on the escape process has been an important means of studying the quantum behavior of macroscopic variables. In this context, escape from the zero voltage state of a Josephson junction has been thoroughly studied Martinis et al. (1987); Devoret et al. (1992). In this paper we adopt the Kramers model to analyze the escape from the zero *current* state of a one dimensional array of Josephson junctions exhibiting a Coulomb blockade of Cooper pair tunneling. We find that the escape process is well described by thermal activation at higher temperatures, but at lower temperatures the escape process becomes independent of temperature.

In the Kramers thermal activation model, the rate of escape $`\mathrm{\Gamma }`$, over an energy barrier $`\mathrm{\Delta }U`$, is given by,

$$\mathrm{\Gamma }=\kappa \frac{\omega _p}{2\pi }\mathrm{exp}(\frac{\mathrm{\Delta }U}{k_BT})$$
(1)
where $`k_B`$ is Boltzmann’s constant and $`\omega _p`$ is the attempt frequency, or the frequency of small oscillations around the metastable minimum. The dimensionless transmission factor $`\kappa `$ depends on the shape of the barrier and the damping Hänggi et al. (1990). This model has been applied to single Josephson junctions, where the energy barrier is a one dimensional tilted washboard potential, and the tilt is controlled by bias current applied to the junction, $`\mathrm{\Delta }U(I)`$ Fulton and Dunkleberger (1974); Martinis et al. (1987); Devoret et al. (1992). Long Josephson junctions (modeled by parallel arrays of single junctions) have also been studied, and in this case the escape is from a metastable minimum in a multi-dimensional space Castellano et al. (1996). All Josephson junction systems studied with this technique thus far exhibit a zero voltage state with a finite supercurrent, above which the system switches to a finite voltage state. A voltage across the junction develops when the superconducting phase, $`\varphi `$, across the junction escapes over the Josephson potential energy barrier to a free-running state ($`V\dot{\varphi }`$). The escape can be due to thermal activation or quantum tunneling of the junction phase through the energy barrier. The important quantities for the escape problem are the height of the Josephson potential and the attempt frequency, which are given in terms of other junction parameters such as normal state resistance, superconducting energy gap and junction capacitance. This escape description applied to the Josephson junction is based on the classical dynamics of the Josephson phase, as embodied in the Josephson effect.

In this letter we analyze the Coulomb blockade of Cooper pair tunneling, a phenomena which is in many ways dual to the Josephson effect Agren et al. (2001); Agren (2000). In one-dimensional arrays of small capacitance Josephson junctions, the coupling of the Josephson phase to dissipation can be manipulated so that there are very large quantum fluctuations of the phase Haviland et al. (2000). In this case, the number of Cooper pairs becomes a classical variable, and transport through the array is described by a Coulomb blockade, where a zero current state persists until a switching voltage is exceeded. One- and two-dimensional arrays of small capacitance Josephson junctions have been well studied in the context of the superconductor-insulator transition Fazio and Van Der Zant (2001). Here we focus on analysis of transport properties of a 1D array deep in the insulating regime. We do this by studying fluctuations of the switching voltage and analyizing them in the context of the Kramers model. This is the first time to our knowledge that such an experimental study has been carried out on Cooper pair tunneling in the insulating regime.

The array is made of Al, with Al2O3 tunnel barriers, on a SiO2 surface using the standard two angle evaporation technique Andersson (1999). Electron beam lithography was used to define the mask pattern, which made 400 junctions in series. Each junction had dimensions $`100`$nm$`\times 150`$nm, and each island was connected by two junctions in parallel, forming a Superconducting QUantum Interference Device (SQUID). The charging energy $`E_C`$ of the SQUID was $`E_Ce^2/2C=59\mu `$eV, where we have assumed a specific capacitance of $`45fF/\mu `$m2Delsing et al. (1994). The junctions normal state resistance $`R_n`$ controls the Josephson energy at zero magnetic field, $`E_{J0}=(R_Q/R_n)\mathrm{\Delta }/2`$ where $`\mathrm{\Delta }=200\mu `$eV is the superconducting energy gap of Al. For the array presented here we had $`R_n=4.6`$k$`\mathrm{\Omega }`$ per SQUID, or $`E_{J0}=142\mu `$eV.

The advantage of the SQUID geometry is that we can tune the Josephson coupling by applying a magnetic flux to the SQUID loops $`E_J=E_{J0}\mathrm{cos}(\pi BA/\mathrm{\Phi }_0)`$, where $`B`$ is the magnetic field perpendicular to the SQUID loop, $`A`$ is the effective area of the loop (in this case $`0.85\times 0.2\mu `$m2) and $`\mathrm{\Phi }_0=h/2e=2.06\times 10^{15}`$Wb is the superconducting flux quantum.

The arrays were measured in a dilution refrigerator with well filtered measurement lines. The chip is mounted on a socket which is in turn mounted in a RF tight copper can. The leads into the can are 1 meter of Thermocoax which attenuates at high frequency Zorin (1995). The can and filtered leads are mounted at the lowest temperature. The bonding pads and contact leads on the chip were fabricated of Au to within $`50\mu `$m of the array edge. Low noise and high input impedance amplifiers were used to measure the voltage and current.

In Fig. 1 we see a typical current-voltage (I-V) characteristic of a 1D array in the Coulomb blockade state. When increasing the bias voltage across the array the Coulomb blockade state is interrupted by a sudden onset of current at the switching voltage, $`V_{sw}`$. Subsequently lowering the bias voltage across the array, the Cooper pairs are retrapped at a voltage $`V_r<V_{sw}`$, giving rise to a hysteresis in the current-voltage characteristics. The retrapping voltage remains the same at fixed magnetic field, whereas the switching voltage fluctuates. Both $`V_{sw}`$ and $`V_r`$ depend on $`E_J`$ and are modulated with magnetic field having a period associated with one flux quantum in each SQUID loop, as can be seen in the inset of Fig. 1. This modulation is clear evidence that the switching voltage is associated with the Cooper pair tunneling in the array.

By making $`10^4`$ sweeps of the bias voltage and each time registering the switching voltage $`V_{sw}`$, we obtain a switching histogram representing the probability distribution $`P(V)`$ from which the escape rate can be calculated through the formula Fulton and Dunkleberger (1974),

$$\mathrm{\Gamma }(V)=\frac{1}{\mathrm{\Delta }V}\frac{dV}{dt}\mathrm{ln}\left(\underset{vV}{}P(v)\text{/}\underset{vV+\mathrm{\Delta }V}{}P(v)\right)$$
(2)
where $`dV/dt`$ is the ramp rate of the voltage and $`\mathrm{\Delta }V`$ is the width of the bins in the histogram.

To establish that the switching process is indeed sensitive to the applied voltage, we have varied the sweep rate by changing the frequency of our triangular sweep between $`5`$ and $`200`$Hz, while keeping the amplitude of the sweep constant at $`1.2`$mV. For lower sweep rates the histogram shifted to lower voltages as we are less likely to reach higher voltages before escape occurs. However, when the escape rate $`\mathrm{\Gamma }(V)`$ was the calculated according to (2) and comparison was made for different sweep rates, we found see that for sweep rates lower than $`0.12`$V/s, the escape rate at a given voltage was essentially unaffected by the sweep rate. We also found that for sweep rates higher than $`0.12`$V/s, the escape rate $`\mathrm{\Gamma }(V)`$ becomes sensitive to the sweep rate. This limitation on sweep rate was set by the biasing and current measurement circuit together with the stray capacitance of the cryostat leads. From this analysis we conclude that the switching process, when measured with sweep speed below $`0.12`$V/s, is truly a voltage dependent escape problem. We also investigated if the switching process is affected by the time spent in the dissipative (finite current) state by putting in a delay and waiting at zero voltage between successive ramps. The result of this investigation was that the switching histogram for fixed sweep rate and temperature remained the same, independent of delay time.

Figure 2 shows a selected number of histograms at different temperatures. The inset of Fig. 2 shows how the voltage value at the peak of the histogram changes versus temperature. At temperatures above about $`130`$mK, the displacement of the peak position is proportional to the temperature. We also see that the width of the distribution increases as the temperature is decreased. The retrapping voltage put a lower limit on the switching voltage and thereby sets a maximum temperature of about $`180`$mK. Therefore we limit ourselves to temperatures between $`170`$mK and the base temperature of the cryostat, about $`50`$mK.

From the histograms we can determine the escape rate $`\mathrm{\Gamma }(V)`$ via equation (2). In Fig. 3 we have plotted $`\mathrm{\Gamma }(V=1.1`$mV) versus $`1/T`$. Here we see that in the high temperature region between $`170`$mK and $`130`$mK, the data is well described by Kramers’ model of thermally activited escape, equation (1). However at low temperatures, below ca $`130`$mK, the escape rate crosses over to a different behavior, becoming independent of temperature at the lowest temperatue attainable. By extrapolating the linear fit in the low temperature region shown in Fig. 3, we find the intersection with the $`\mathrm{ln}\mathrm{\Gamma }`$-axis and make an estimate of the factor, $`\kappa \omega _p`$ of the order of $`10^910^{10}`$Hz. An alternative way to find $`\kappa \omega _p`$, which uses the data at all voltages, is to extract the energy barrier $`\mathrm{\Delta }U(V)`$ from the escape rate $`\mathrm{\Gamma }(V)`$ via equation (1). We then adjust $`\kappa \omega _p`$ so that the data at all temperatures fall on to a single $`\mathrm{\Delta }U(V)`$ curve. We find that in the high temperature region between $`170`$mK and $`130`$mK, the data collapse on to one curve for $`\kappa \omega _p=80`$GHz as is shown in Fig. 4.

We note that this method of determining $`\kappa \omega _p`$ differs from the traditional analysis of escape from the superconducting state of Josephson junctions. In the superconducting case we have a well established model for the energy barrier, and to an excellent approximation, escape from the cubic potential can be assumed. The cubic potential results in a straight line plot of $`(\mathrm{ln}(\omega _p/2\pi \mathrm{\Gamma }))^{2/3}`$ versus the bias current Martinis et al. (1987). If we follow this analysis and plot $`(\mathrm{ln}(\omega _p/2\pi \mathrm{\Gamma }))^{2/3}`$ versus bias voltage in the temperature range $`130170`$mK using the value $`\kappa \omega _p=80`$GHz, we also find a straight line. However, the limited width of the distribution and the small temperature range make it difficult to say if the data follows the theoretical predictions (slope $`T^{2/3}`$ and intersect with the x-axis at $`V_0`$). We can, however, conclude that the qualitative behavior is correct.

Thus the data are well described by the thermal activation model in the high temperature regime with $`\kappa \omega _p=80`$GHz. Fixing the value of $`\kappa \omega _p=80`$GHz, we can then analyze the low temperature regime ($`T<130`$mK) by adjusting the temperature in equation (1) to find an effective temperature. Following this procedure, all data for all voltage and tempeature can be reduced to one $`\mathrm{\Delta }U(V)`$ as shown for a few selected temperatures in Fig. 4. The effective temperature, $`T_{eff}`$, is plotted versus the thermometer temperature in Fig. 5. Here we can see how the data can be described by the thermal escape model if an effective temperature is assumed that reaches a minimum value of $`122`$mK as the cryostat is cooled towards base temperature.

There can be several reasons for deviation from the thermal activation model at low temperatures. The escape temperature of $`122`$mK may be a result some source of heating of the sample, so that the sample is not in equilibrium with our thermometer. We can rule out self-heating by the current in the sample Kautz et al. (1993) because we are measuring escape from a zero current state, where there is no dissipation in the sample. The low temperature escape may also be influenced by RF and microwave noise reaching the sample through the filtered measurement leads. Another possibility is that the escape process at low temperatures is determined by macroscopic quantum tunneling (MQT).

MQT rates have been calculated for the cubic potential at $`T=0`$ Devoret et al. (1985),

$$T_{esc}\frac{\mathrm{}\omega _p/k_B}{7.2(1+0.87/Q)}$$
(3)
where Q is the damping factor. Assuming moderate to weak damping ($`Q1`$) and $`\kappa 1`$ we can calculate an MQT escape temperature $`T_{esc}85`$mK, which is in reasonable agreement with the effective escape temperature found with our method of analysis. However, similar measurements and analysis on a slightly shorter array found a much lower $`\kappa \omega _p10`$MHz. This would result in $`T_{esc}10\mu `$K in the MQT model, in poor agreement with the effective escape temperature $`T_{eff}(0)100`$mK found in the data analysis.

In conclusion, we have studied the onset of finite current in long, one-dimensional Josephson junction arrays in the Coulomb blockade state. By analyzing the temperature dependence of fluctuations of the switching voltage for the onset of finite current, we have shown that this onset can be described by the Kramers model for thermally activated escape over an energy barrier, where the barrier height depends on the bias voltage. The data fall into two temperature regimes. At high temperature thermal activation applies, but at low temperature an effective temperature must be assumed to fit the data to the Kramers model. The low temperature behavior could be the result of external noise causing the escape over the barrier, or possibly, macroscopic quantum tunneling through the barrier.

We would like to acknowledge helpful discussions with R. Kautz and T. Duty, and financial support from the NFR, Göran Gustafsson Foundation and the EU project SQUBIT.