Strong Convergence Rate for Two-Time-Scale Jump-Diffusion Stochastic Differential Systems
From MaRDI portal
Publication:3503945
DOI10.1137/060673345zbMath1144.60038OpenAlexW2116933606MaRDI QIDQ3503945
Publication date: 10 June 2008
Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/d91261a9dca08ce622678cdc984373a735743728
strong convergencestochastic differential equationstwo-time-scale systemsconvergence ratemixingaveragingjump-diffusionmultiscale problems\(L^2\)-convergence
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transformation and reduction of ordinary differential equations and systems, normal forms (34C20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (57)
Averaging principle for fast-slow system driven by mixed fractional Brownian rough path ⋮ Strong convergence in the \(p\)th-mean of an averaging principle for two-time-scales SPDEs with jumps ⋮ AN AVERAGING PRINCIPLE FOR TWO-SCALE STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS ⋮ An averaging principle for slow-fast fractional stochastic parabolic equations on unbounded domains ⋮ \(L^{p}\)-strong convergence of the averaging principle for slow-fast SPDEs with jumps ⋮ Two-time-scales hyperbolic-parabolic equations driven by Poisson random measures: existence, uniqueness and averaging principles ⋮ Averaging principle for multiscale stochastic fractional Schrödinger-Korteweg-de Vries system ⋮ Stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients ⋮ Strong averaging principle for two-time-scale SDEs with non-Lipschitz coefficients ⋮ Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises ⋮ Strong averaging principle for a class of slow-fast singular SPDEs driven by \(\alpha\)-stable process ⋮ Averaging principle of stochastic Burgers equation driven by Lévy processes ⋮ A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations ⋮ On the averaging principle for stochastic differential equations driven by \(G\)-Lévy process ⋮ Strong convergence rate of the averaging principle for a class of slow–fast stochastic evolution equations ⋮ Orders of strong and weak averaging principle for multi-scale SPDEs driven by \(\alpha \)-stable process ⋮ \(L^p(p > 2)\)-strong convergence of an averaging principle for two-time-scales jump-diffusion stochastic differential equations ⋮ Strong convergence of averaging principle for the non‐autonomous slow‐fast systems of SPDEs with polynomial growth ⋮ Fast-slow stochastic dynamical system with singular coefficients ⋮ A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion ⋮ The order of convergence in the averaging principle for slow-fast systems of stochastic evolution equations in Hilbert spaces ⋮ Well-posedness and averaging principle of McKean-Vlasov SPDEs driven by cylindrical α-stable process ⋮ Reduction for Stochastic Biochemical Reaction Networks with Multiscale Conservations ⋮ Averaging principles for mixed fast-slow systems driven by fractional Brownian motion ⋮ Nonlinear model reduction for slow-fast stochastic systems near unknown invariant manifolds ⋮ Large deviations for Lévy diffusions in the small noise regime ⋮ Strong convergence in stochastic averaging principle for two time-scales stochastic partial differential equations ⋮ Strong convergence rate for slow-fast stochastic differential equations with Markovian switching ⋮ Averaging principles for nonautonomous two-time-scale stochastic reaction-diffusion equations with jump ⋮ Weak order in averaging principle for stochastic differential equations with jumps ⋮ \(L^{p}\) (\(p>2\))-strong convergence of multiscale integration scheme for jump-diffusion systems ⋮ The role of slow manifolds in parameter estimation for a multiscale stochastic system with α-stable Lévy noise ⋮ Strong convergence rate in averaging principle for stochastic FitzHugh-Nagumo system with two time-scales ⋮ Data assimilation and parameter estimation for a multiscale stochastic system withα-stable Lévy noise ⋮ Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations ⋮ Importance sampling in path space for diffusion processes with slow-fast variables ⋮ On \(L^p\)-strong convergence of an averaging principle for non-Lipschitz slow-fast systems with Lévy noise ⋮ Strong convergence rate of principle of averaging for jump-diffusion processes ⋮ Effective filtering analysis for non-Gaussian dynamic systems ⋮ Averaging Principle for Two Time-Scales Stochastic Partial Differential Equations with Reflection ⋮ Stochastic averaging principles for multi-valued stochastic differential equations driven by poisson point Processes ⋮ Averaging principle for the higher order nonlinear Schrödinger equation with a random fast oscillation ⋮ Convergence of \(p\)-th mean in an averaging principle for stochastic partial differential equations driven by fractional Brownian motion ⋮ A note on strong convergence rate in averaging principle for stochastic FitzHugh–Nagumo system with two time-scales ⋮ An averaging principle for neutral stochastic functional differential equations driven by Poisson random measure ⋮ Diffusion approximation for fully coupled stochastic differential equations ⋮ On the averaging principle for stochastic delay differential equations with jumps ⋮ Averaging principle for stochastic real Ginzburg-Landau equation driven by \(\alpha\)-stable process ⋮ Strong averaging principle for two-time-scale non-autonomous stochastic FitzHugh-Nagumo system with jumps ⋮ Stochastic averaging for the non-autonomous mixed stochastic differential equations with locally Lipschitz coefficients ⋮ Strong and weak convergence rates for slow-fast stochastic differential equations driven by \(\alpha \)-stable process ⋮ Convergence of martingale solutions to the hybrid slow-fast system ⋮ Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: averaging principle ⋮ The central limit theorem for slow-fast systems with Lévy noise ⋮ Analysis of multiscale methods for stochastic dynamical systems driven by \(\alpha\)-stable processes ⋮ Averaging principle for two-time-scale stochastic differential equations with correlated noise ⋮ Strong averaging principle for slow-fast SPDEs with Poisson random measures
This page was built for publication: Strong Convergence Rate for Two-Time-Scale Jump-Diffusion Stochastic Differential Systems
