An averaging principle for two-time-scale stochastic functional differential equations
نویسندگان
چکیده
منابع مشابه
Averaging Principle for Differential Equations with Hysteresis
The goal of this paper is to extend the averaging technique to new classes of hysteresis operators and oscillating functions as well as to bring more consistency into the exposition. In the first part of the paper, making accent on polyhedral vector sweeping processes, we keep in mind possible applications to the queueing theory where these processes arise naturally. In the second part we conce...
متن کاملAveraging principle for a class of stochastic reaction–diffusion equations
We consider the averaging principle for stochastic reaction–diffusion equations. Under some assumptions providing existence of a unique invariant measure of the fast motion with the frozen slow component, we calculate limiting slow motion. The study of solvability of Kolmogorov equations in Hilbert spaces and the analysis of regularity properties of solutions, allow to generalize the classical ...
متن کاملAn Averaging Principle for Integrable Stochastic Hamiltonian Systems
Consider a stochastic differential equation whose diffusion vector fields are formed from an integrable family of Hamiltonian functions Hi, i = 1, . . . n. We investigate the effect of a small transversal perturbation of order to such a system. An averaging principle is shown to hold for this system and the action component of the solution converges, as → 0, to the solution of a deterministic s...
متن کاملSolving parabolic stochastic partial differential equations via averaging over characteristics
The method of characteristics (the averaging over the characteristic formula) and the weak-sense numerical integration of ordinary stochastic differential equations together with the Monte Carlo technique are used to propose numerical methods for linear stochastic partial differential equations (SPDEs). Their orders of convergence in the mean-square sense and in the sense of almost sure converg...
متن کاملStochastic averaging and sensitivity analysis for two scale reaction networks.
In the presence of multiscale dynamics in a reaction network, direct simulation methods become inefficient as they can only advance the system on the smallest scale. This work presents stochastic averaging techniques to accelerate computations for obtaining estimates of expected values and sensitivities with respect to the steady state distribution. A two-time-scale formulation is used to estab...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Differential Equations
سال: 2020
ISSN: 0022-0396
DOI: 10.1016/j.jde.2019.12.024