Strong and weak orders in averaging for SPDEs
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Publication:432500
DOI10.1016/J.SPA.2012.04.007zbMATH Open1266.60112arXiv1202.2708OpenAlexW2169672570MaRDI QIDQ432500FDOQ432500
Authors: Charles-Edouard Bréhier 
Publication date: 4 July 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We show an averaging result for a system of stochastic evolution equations of parabolic type with slow and fast time scales. We derive explicit bounds for the approximation error with respect to the small parameter defining the fast time scale. We prove that the slow component of the solution of the system converges towards the solution of the averaged equation with an order of convergence is 1/2 in a strong sense - approximation of trajectories - and 1 in a weak sense - approximation of laws. These orders turn out to be the same as for the SDE case.
Full work available at URL: https://arxiv.org/abs/1202.2708
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Averaging of perturbations for nonlinear problems in mechanics (70K65)
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