An averaging principle for diffusions in foliated spaces

DOI10.1214/14-AOP982MaRDI QIDQ272972zbMATH OpenFDO

Authors Ivan I. Gonzales-Gargate, Paulo Ruffino

Publication date 21 April 2016

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1212.1587, https://projecteuclid.org/euclid.aop/1454423050

zbMATH Keywords

averaging principlefoliated diffusionrescaled stochastic systemsstochastic flows

Mathematics Subject Classification ID

Perturbations of PDEs on manifolds; asymptotics (58J37) Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Abstract: Consider an SDE on a foliated manifold whose trajectories lay on compact leaves. We investigate the effective behavior of a small transversal perturbation of order $varepsilon$. An average principle is shown to hold such that the component transversal to the leaves converges to the solution of a deterministic ODE, according to the average of the perturbing vector field with respect to invariant measures on the leaves, as $varepsilon$ goes to zero. An estimate of the rate of convergence is given. These results generalize the geometrical scope of previous approaches, including completely integrable stochastic Hamiltonian system.

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Cited in

(25)

• Homogenisation on homogeneous spaces
• Averaging principle for one dimensional stochastic Burgers equation
• Strong averaging along foliated Lévy diffusions with heavy tails on compact leaves
• Topology of foliations and decomposition of stochastic flows of diffeomorphisms
• Diffusion approximation for multi-scale stochastic reaction-diffusion equations
• Averaging principle and normal deviations for multiscale stochastic systems
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• Random perturbation to the geodesic equation
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• Degenerate semigroups and stochastic flows of mappings in foliated manifolds

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