Averaging principle for stochastic differential equations in the random periodic regime

DOI10.1016/J.SPA.2021.04.017MaRDI QIDQ2048129zbMATH OpenOpenAlexWikidataFDO

Authors Kenneth Uda

Publication date 5 August 2021

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.03277

zbMATH Keywords

periodic measuresstochastic averaging principlePS-ergodicityrandom periodic pathsHömander's Lie bracket condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We present the validity of stochastic averaging principle for non-autonomous slow-fast stochastic differential equations (SDEs) whose fast motions admit random periodic solutions. Our investigation is motivated by some problems arising from multi-scale stochastic dynamical systems, where configurations are time dependent due to nonlinearity of the underlying vector fields and the onset of time dependent random invariant sets. Averaging principle with respect to uniform ergodicity of the fast motion is no longer available in this scenario. Lyapunov second method together with synchronous coupling and strong Feller property of Markovian flows of SDEs are used to prove the ergodicity of time periodic measures of the fast motion on certain minimal Poincare section and consequently identify the averaging limit.

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Cited in

(8)

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