Limit behavior of two-time-scale diffusions revisited

DOI10.1016/j.jde.2004.08.013zbMath1112.35014OpenAlexW2082516785MaRDI QIDQ1775576

Rafail Z. Khasminskii, G. George Yin

Publication date: 4 May 2005

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jde.2004.08.013

zbMATH Keywords

singular perturbationasymptotic expansionparabolic partial differential equationtwo-time scalefunctional of diffusion.

Mathematics Subject Classification ID

Singular perturbations in context of PDEs (35B25) Diffusion processes (60J60) Asymptotic expansions of solutions to PDEs (35C20) Initial value problems for second-order parabolic equations (35K15)

Related Items

The averaging principle for stochastic differential equations driven by a Wiener process revisited ⋮ Fast-slow-coupled stochastic functional differential equations ⋮ Weak order in averaging principle for stochastic wave equation with a fast oscillation ⋮ Averaging of semigroups associated to diffusion processes on a simplex ⋮ An averaging principle for slow-fast fractional stochastic parabolic equations on unbounded domains ⋮ On Asymptotic Preserving Schemes for a Class of Stochastic Differential Equations in Averaging and Diffusion Approximation Regimes ⋮ Global optimization using diffusion perturbations with large noise intensity ⋮ Approximation of the Filter Equation for Multiple Timescale, Correlated, Nonlinear Systems ⋮ Asymptotic expansions for solutions of parabolic systems associated with multi-scale switching diffusions ⋮ Averaging principle for one dimensional stochastic Burgers equation ⋮ Orders of convergence in the averaging principle for SPDEs: the case of a stochastically forced slow component ⋮ Singularly perturbed reaction diffusion equations with time delay ⋮ Averaging principles for SPDEs driven by fractional Brownian motions with random delays modulated by two-time-scale Markov switching processes ⋮ Singularly perturbed differential-difference reaction diffusion equations with time delay ⋮ Averaging principle and normal deviations for multi-scale stochastic hyperbolic-parabolic equations ⋮ Averaging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processes ⋮ A Fluid-Diffusion-Hybrid Limiting Approximation for Priority Systems with Fast and Slow Customers ⋮ Averaging principle for two time-scale regime-switching processes ⋮ Averaging principles for mixed fast-slow systems driven by fractional Brownian motion ⋮ Singularly perturbed solution for third order nonlinear equations with two parameters ⋮ Poisson Equation on Wasserstein Space and Diffusion Approximations for Multiscale McKean–Vlasov Equation ⋮ Strong and weak orders in averaging for SPDEs ⋮ Multiscale stochastic modelling of gene expression ⋮ Solvability for nonlinear elliptic equation with boundary perturbation ⋮ Interactive diffusions for global optimization ⋮ Singularly perturbed solution for weakly nonlinear equations with two parameters ⋮ Singular perturbation for the weakly nonlinear reaction diffusion equation with boundary perturbation ⋮ Diffusion approximation for multi-scale stochastic reaction-diffusion equations ⋮ A class of nonlinear singularly perturbed initial boundary value problems for reaction diffusion equations with boundary perturbation ⋮ An averaging principle for two-time-scale stochastic functional differential equations ⋮ A uniform asymptotic expansion for stochastic volatility model in pricing multi‐asset European options ⋮ Gene regulatory networks driven by intrinsic noise with two-time scales: a stochastic averaging approach ⋮ Stochastic averaging for a class of two-time-scale systems of stochastic partial differential equations ⋮ Averaging principle and normal deviations for multiscale stochastic systems ⋮ Solvability for nonlinear reaction diffusion equation with boundary perturbation ⋮ Diffusion approximation for fully coupled stochastic differential equations ⋮ Reduction of Markov chains with two-time-scale state transitions ⋮ Martingale structure for general thermodynamic functionals of diffusion processes under second-order averaging ⋮ Singularly perturbed solution to semilinear reaction diffusion equations with two parameters ⋮ Asymptotic solution of activator inhibitor systems for nonlinear reaction diffusion equations ⋮ A class of nonlinear nonlocal singularly perturbed reaction diffusion systems ⋮ Strong and weak convergence rates for slow-fast stochastic differential equations driven by \(\alpha \)-stable process ⋮ Asymptotic expansions of backward equations for two-time-scale Markov chains in continuous time ⋮ A chaos expansion approach under hybrid volatility models ⋮ Strong convergence in averaging principle for stochastic hyperbolic-parabolic equations with two time-scales

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weak convergence methods and singularly perturbed stochastic control and filtering problems
• On Poisson equation and diffusion approximation. II.
• On the Poisson equation and diffusion approximation. I
• A parabolic Littlewood-Paley inequality with applications to parabolic equations
• Stability of regime-switching stochastic differential equations
• On Averaging Principles: An Asymptotic Expansion Approach
• On Stochastic Processes Defined by Differential Equations with a Small Parameter
• Principle of Averaging for Parabolic and Elliptic Differential Equations and for Markov Processes with Small Diffusion
• Asymptotic Series for Singularly Perturbed Kolmogorov–Fokker–Planck Equations
• On Transition Densities of Singularly Perturbed Diffusions with Fast and Slow Components