Strong Convergence in the Stochastic Averaging Principle
نویسندگان
چکیده
منابع مشابه
Lp (p≥ 2)-strong convergence in averaging principle for multivalued stochastic differential equation with non-Lipschitz coefficients
*Correspondence: [email protected] School of Mathematics and Statistics, South-Central University for Nationalities, Wuhan, 430074, China Abstract We investigate the averaging principle for multivalued stochastic differential equations (MSDEs) driven by a random process under non-Lipschitz conditions. We consider the convergence of solutions in Lp (p≥ 2) and in probability between the MSD...
متن کاملStrong convergence rate of principle of averaging for jump-diffusion processes
Abstract We study jump-diffusion processes with two well-separated time scales. It is proved that the rate of strong convergence to the averaged effective dynamics is of order O(ε1/2), where ε 1 is the parameter measuring the disparity of the time scales in the system. The convergence rate is shown to be optimal through examples. The result sheds light on the designing of efficient numerical me...
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 کاملDouble averaging principle for periodically forced slow-fast stochastic systems
This paper is devoted to obtaining an averaging principle for systems of slow-fast stochastic differential equations, where the fast variable drift is periodically modulated on a fast time-scale. The approach developed here combines probabilistic methods with a recent analytical result on long-time behavior for second order elliptic equations with time-periodic coefficients.
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 Mathematical Analysis and Applications
سال: 1994
ISSN: 0022-247X
DOI: 10.1006/jmaa.1994.1349