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

DOI10.1214/20-AIHP1087zbMath1491.60088arXiv1909.07665OpenAlexW3136077900WikidataQ115240805 ScholiaQ115240805MaRDI QIDQ2041807

Xiaobin Sun, Yingchao Xie, Michael Roeckner

Publication date: 23 July 2021

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.07665

zbMATH Keywords

Poisson equationaveraging principleslow-fastMcKean-Vlasov stochastic differential equationsstrong convergence order

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Related Items

Near Optimality of Stochastic Control for Singularly Perturbed McKean--Vlasov Systems, Quantified overdamped limit for kinetic Vlasov-Fokker-Planck equations with singular interaction forces, Rate of homogenization for fully-coupled McKean–Vlasov SDEs, Small noise asymptotics of multi-scale McKean-Vlasov stochastic dynamical systems, Strong averaging principle for a class of slow-fast singular SPDEs driven by \(\alpha\)-stable process, A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations, Central limit type theorem and large deviation principle for multi-scale McKean-Vlasov SDEs, Functional law of large numbers and central limit theorem for slow-fast McKean-Vlasov equations, On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions, 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, A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion, Well-posedness and averaging principle of McKean-Vlasov SPDEs driven by cylindrical α-stable process, Poisson Equation on Wasserstein Space and Diffusion Approximations for Multiscale McKean–Vlasov Equation, Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations, Strong and weak convergence for the averaging principle of DDSDE with singular drift, Strong convergence rate for slow-fast stochastic differential equations with Markovian switching, Strong and weak convergence rates for slow-fast stochastic differential equations driven by \(\alpha \)-stable process, Optimal strong convergence rate for a class of McKean-Vlasov SDEs with fast oscillating perturbation, Large deviations for interacting multiscale particle systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Strong and weak orders in averaging for SPDEs
• Average and deviation for slow-fast stochastic partial differential equations
• Stochastic partial differential equations: an introduction
• Strong convergence of principle of averaging for multiscale stochastic dynamical systems
• Multiple timescales, mixed mode oscillations and canards in models of intracellular calcium dynamics
• Averaging principle for the higher order nonlinear Schrödinger equation with a random fast oscillation
• Strong convergence of projective integration schemes for singularly perturbed stochastic differential systems
• Averaging principle for a class of stochastic reaction-diffusion equations
• On Poisson equation and diffusion approximation. II.
• Weak order in averaging principle for stochastic wave equation with a fast oscillation
• Averaging principle for one dimensional stochastic Burgers equation
• Distribution dependent SDEs for Landau type equations
• Large deviations and approximations for slow-fast stochastic reaction-diffusion equations
• Averaging principle for stochastic Kuramoto-Sivashinsky equation with a fast oscillation
• On the Poisson equation and diffusion approximation. I
• Orders of convergence in the averaging principle for SPDEs: the case of a stochastically forced slow component
• Averaging principle for slow-fast stochastic Burgers equation driven by \(\alpha \)-stable process
• Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients
• Averaging principle for stochastic real Ginzburg-Landau equation driven by \(\alpha\)-stable process
• Bismut formula for Lions derivative of distribution dependent SDEs and applications
• Averaging principle for multiscale stochastic Klein-Gordon-heat system
• Strong convergence in averaging principle for stochastic hyperbolic-parabolic equations with two time-scales
• A Khasminskii type averaging principle for stochastic reaction-diffusion equations
• Multi-timescale systems and fast-slow analysis
• Mean-field stochastic differential equations and associated PDEs
• Averaging Principle for Systems of Reaction-Diffusion Equations with Polynomial Nonlinearities Perturbed by Multiplicative Noise
• ON THE AVERAGING PRINCIPLE FOR SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS
• Averaging principle and systems of singularly perturbed stochastic differential equations
• Stochastic averaging principle for systems with pathwise uniqueness
• Averaging Principle for Nonautonomous Slow-Fast Systems of Stochastic Reaction-Diffusion Equations: The Almost Periodic Case
• Analysis of multiscale methods for stochastic differential equations