On averaging principle for diffusion processes with null-recurrent fast component
نویسندگان
چکیده
منابع مشابه
Averaging principle for diffusion processes via Dirichlet forms
We study diffusion processes driven by a Brownian motion with regular drift in a finite dimension setting. The drift has two components on different time scales, a fast conservative component and a slow dissipative component. Using the theory of Dirichlet form and Mosco-convergence we obtain simpler proofs, interpretations and new results of the averaging principle for such processes when we sp...
متن کاملAveraging principle for quasi-linear parabolic PDE’s and related diffusion processes
Quasi-linear perturbations of a two-dimensional flow with a first integral and the corresponding parabolic PDE’s with a small parameter at the second order derivatives are considered in this paper. 2000 Mathematics Subject Classification Numbers: 35K55
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 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: Stochastic Processes and their Applications
سال: 2001
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(00)00097-1