Strong and weak convergence rates for slow-fast stochastic differential equations driven by -stable process

DOI10.3150/21-BEJ1345MaRDI QIDQ2073216zbMATH OpenOpenAlexWikidataFDO

Authors Xiaobin Sun, Longjie Xie, Yingchao Xie

Publication date 1 February 2022

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.02595, https://projecteuclid.org/journals/bernoulli/volume-28/issue-1/Strong-and-weak-convergence-rates-for-slowfast-stochastic-differential-equations/10.3150/21-BEJ1345.full

zbMATH Keywords

\( \alpha \)-stable processaveraging principleconvergence ratesslow-fast system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Abstract: In this paper, we study the averaging principle for a class of stochastic differential equations driven by $alpha$-stable processes with slow and fast time-scales, where $alphain(1,2)$. We prove that the strong and weak convergence order are $1-1/alpha$ and $1$ respectively. We show, by a simple example, that $1-1/alpha$ is the optimal strong convergence rate.

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Cited in

(32)

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