A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations (Q6071185): Difference between revisions

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scientific article; zbMATH DE number 7768816

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English	A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations	scientific article; zbMATH DE number 7768816

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instance of

scholarly article

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title

A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations (English)

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Journal of Theoretical Probability

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publication date

21 November 2023

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zbMATH Keywords

stochastic averaging principle

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convergence rate

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fast-slow FBSDEs

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10959-023-01278-1

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Introduction to Stochastic Search and Optimization

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STOCHASTIC VERSIONS OF ANOSOV'S AND NEISTADT'S THEOREMS ON AVERAGING

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Multiscale Integration Schemes for Jump-Diffusion Systems

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Stochastic Averaging in Continuous Time and Its Applications to Extremum Seeking

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Stochastic Averaging in Discrete Time and its Applications to Extremum Seeking

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Computational singular perturbation analysis of stochastic chemical systems with stiffness

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Analysis of multiscale methods for stochastic differential equations

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Strong Convergence Rate for Two-Time-Scale Jump-Diffusion Stochastic Differential Systems

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Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations

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Strong convergence of principle of averaging for multiscale stochastic dynamical systems

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Strong convergence rate of principle of averaging for jump-diffusion processes

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An averaging principle for a completely integrable stochastic Hamiltonian system

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Double averaging principle for periodically forced stochastic slow-fast systems

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Continuous-Time Stochastic Averaging on the Infinite Interval for Locally Lipschitz Systems

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Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients

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An averaging principle for two-time-scale stochastic functional differential equations

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Strong convergence order for slow-fast McKean-Vlasov stochastic differential equations

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Averaging principle for slow-fast stochastic partial differential equations with Hölder continuous coefficients

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The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model

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Averaging of backward stochastic differential equations, with application to semi-linear pde's

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Averaging of Backward Stochastic Differential Equations and Homogenization of Partial Differential Equations with Periodic Coefficients

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Homogenization of semilinear PDEs with discontinuous averaged coefficients

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Probabilistic approach to homogenization of a non-divergence form semilinear PDE with non-periodic coefficients

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Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media

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Exponential integrators for stochastic Maxwell's equations driven by Itô noise

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Strong convergence rates of semidiscrete splitting approximations for the stochastic Allen–Cahn equation

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Strong and Weak Convergence Rates of a Spatial Approximation for Stochastic Partial Differential Equation with One-sided Lipschitz Coefficient

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Strong Convergence of Full Discretization for Stochastic Cahn--Hilliard Equation Driven by Additive Noise

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Adapted solution of a backward stochastic differential equation

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Backward-forward stochastic differential equations

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A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems

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Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance

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Forward-backward stochastic differential equations and quasilinear parabolic PDEs

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Forward-backward stochastic differential equations with mixed initial-terminal conditions

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Forward-backward systems for expected utility maximization

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Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics

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Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model

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Contract theory in continuous-time models

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Stochastic differential equations. An introduction with applications.

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Q5400824

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Identifiers

DOI

10.1007/s10959-023-01278-1

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Introduction to Stochastic Search and Optimization
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+STOCHASTIC VERSIONS OF ANOSOV'S AND NEISTADT'S THEOREMS ON AVERAGING
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@@ Property / cites work @@
+Multiscale Integration Schemes for Jump-Diffusion Systems
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@@ Property / cites work @@
+Stochastic Averaging in Continuous Time and Its Applications to Extremum Seeking
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@@ Property / cites work @@
+Stochastic Averaging in Discrete Time and its Applications to Extremum Seeking
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@@ Property / cites work @@
+Computational singular perturbation analysis of stochastic chemical systems with stiffness
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@@ Property / cites work @@
+Analysis of multiscale methods for stochastic differential equations
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@@ Property / cites work @@
+Strong Convergence Rate for Two-Time-Scale Jump-Diffusion Stochastic Differential Systems
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@@ Property / cites work @@
+Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations
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@@ Property / cites work @@
+Strong convergence of principle of averaging for multiscale stochastic dynamical systems
+Normal rank
@@ Property / cites work @@
+Strong convergence rate of principle of averaging for jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+An averaging principle for a completely integrable stochastic Hamiltonian system
+Normal rank
@@ Property / cites work @@
+Double averaging principle for periodically forced stochastic slow-fast systems
+Normal rank
@@ Property / cites work @@
+Continuous-Time Stochastic Averaging on the Infinite Interval for Locally Lipschitz Systems
+Normal rank
@@ Property / cites work @@
+Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+An averaging principle for two-time-scale stochastic functional differential equations
+Normal rank
@@ Property / cites work @@
+Strong convergence order for slow-fast McKean-Vlasov stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Averaging principle for slow-fast stochastic partial differential equations with Hölder continuous coefficients
+Normal rank
@@ Property / cites work @@
+The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model
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@@ Property / cites work @@
+Averaging of backward stochastic differential equations, with application to semi-linear pde's
+Normal rank
@@ Property / cites work @@
+Averaging of Backward Stochastic Differential Equations and Homogenization of Partial Differential Equations with Periodic Coefficients
+Normal rank
@@ Property / cites work @@
+Homogenization of semilinear PDEs with discontinuous averaged coefficients
+Normal rank
@@ Property / cites work @@
+Probabilistic approach to homogenization of a non-divergence form semilinear PDE with non-periodic coefficients
+Normal rank
@@ Property / cites work @@
+Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media
+Normal rank
@@ Property / cites work @@
+Exponential integrators for stochastic Maxwell's equations driven by Itô noise
+Normal rank
@@ Property / cites work @@
+Strong convergence rates of semidiscrete splitting approximations for the stochastic Allen–Cahn equation
+Normal rank
@@ Property / cites work @@
+Strong and Weak Convergence Rates of a Spatial Approximation for Stochastic Partial Differential Equation with One-sided Lipschitz Coefficient
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Full Discretization for Stochastic Cahn--Hilliard Equation Driven by Additive Noise
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Backward-forward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and quasilinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations with mixed initial-terminal conditions
+Normal rank
@@ Property / cites work @@
+Forward-backward systems for expected utility maximization
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
+Normal rank
@@ Property / cites work @@
+Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model
+Normal rank
@@ Property / cites work @@
+Contract theory in continuous-time models
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+Stochastic differential equations. An introduction with applications.
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