The averaging principle for stochastic differential equations driven by a Wiener process revisited

DOI10.5802/CRMATH.297MaRDI QIDQ2122136zbMATHOpenAlexWikidataFDO

Authors Charles-Edouard Bréhier

Publication date 6 April 2022

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2104.14196

zbMATH Keywords

averaging principlemulti-scale stochastic systems

Mathematics Subject Classification ID

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

Abstract: We consider a one-dimensional stochastic differential equation driven by a Wiener process, where the diffusion coefficient depends on an ergodic fast process. The averaging principle is satisfied: it is well-known that the slow component converges in distribution to the solution of an averaged equation, with generator determined by averaging the square of the diffusion coefficient. We propose a version of the averaging principle, where the solution is interpreted as the sum of two terms: one depending on the average of the diffusion coefficient, the other giving fluctuations around that average. Both the average and fluctuation terms contribute to the limit, which illustrates why it is required to average the square of the diffusion coefficient to find the limit behavior.

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Cited in

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• scientific article; zbMATH DE number 177703 (Why is no real title available?)
• Strong convergence of multi-scale stochastic differential equations with a full dependence
• An averaging principle for the time-dependent abstract stochastic evolution equations with infinite delay and Wiener process
• Stochastic averaging for SDEs with Hopf drift and polynomial diffusion coefficients

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