Averaging principle for stochastic differential equations in the random periodic regime
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Publication:2048129
DOI10.1016/J.SPA.2021.04.017zbMATH Open1469.60197arXiv1812.03277OpenAlexW3163835342WikidataQ115341121 ScholiaQ115341121MaRDI QIDQ2048129FDOQ2048129
Authors: Kenneth Uda 
Publication date: 5 August 2021
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1812.03277
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Cited In (8)
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- Averaging principle and systems of singularly perturbed stochastic differential equations
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