Fast-slow-coupled stochastic functional differential equations

DOI10.1016/J.JDE.2022.03.030zbMATH Open1495.34111OpenAlexW4220802146MaRDI QIDQ2124507FDOQ2124507

Authors: Fuke Wu, George Yin 

Publication date: 11 April 2022

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jde.2022.03.030

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zbMATH Keywords

averaging principletightnessmartingale methodtwo-time scaleSFDE

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Martingales with continuous parameter (60G44) Singular perturbations of functional-differential equations (34K26) Averaging for functional-differential equations (34K33)

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Cited In (9)

• A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion
• Asymptotic behavior for multi-scale SDEs with monotonicity coefficients driven by Lévy processes
• An averaging principle for two-time-scale stochastic functional differential equations
• Weak convergence and stability of functional diffusion systems with singularly perturbed regime switching
• Ergodicity and strong limit results for two-time-scale functional stochastic differential equations
• Strong convergence of neutral stochastic functional differential equations with two time-scales
• An averaging principle for fast-slow-coupled neutral stochastic differential equations with time-varying delay
• Weak convergence of McKean-Vlasov stochastic differential equations with two-time-scale Markov switching
• Approximate properties of stochastic functional differential equations with singular perturbations

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