Weak order in averaging principle for stochastic differential equations with jumps

被引：0
作者：
Bengong Zhang
Hongbo Fu
Li Wan
Jicheng Liu
机构：
[1] Wuhan Textile University,College of Mathematics and Computer Science
[2] Huazhong University of Science and Technology,School of Mathematics and Statistics
来源：
Advances in Difference Equations | / 2018卷
关键词：
Jump-diffusion; Averaging principle; Invariant measure; Weak convergence; Asymptotic expansion; 60H10; 70K70;
D O I：
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学科分类号：
摘要：
In this paper, we deal with the averaging principle for a two-time-scale system of jump-diffusion stochastic differential equations. Under suitable conditions, we expand the weak error in powers of timescale parameter. We prove that the rate of weak convergence to the averaged dynamics is of order 1. This reveals that the rate of weak convergence is essentially twice that of strong convergence.
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