STRONG CONVERGENCE OF PRINCIPLE OF AVERAGING FOR MULTISCALE STOCHASTIC DYNAMICAL SYSTEMS

被引：0

作者：

Liu, Di ^{[1
]}

机构：

[1] Michigan State Univ, Dept Math, E Lansing, MI 48824 USA

来源：

COMMUNICATIONS IN MATHEMATICAL SCIENCES | 2010年 / 8卷 / 04期

基金：

美国国家科学基金会;

关键词：

Stochastic Differential Equations; Time Scale Separation; Averaging of Perturbations;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we study stochastic differential equations with two well-separated time scales. We prove that the rate of strong convergence to the averaged effective dynamics is of order O(epsilon(1/2)), where epsilon << 1 is the parameter measuring the disparity of the time scales in the system. The convergence rate is shown to be optimal through examples.

引用

页码：999 / 1020

页数：22

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