An averaging principle for a completely integrable stochastic Hamiltonian system

DOI10.1088/0951-7715/21/4/008MaRDI QIDQ5458169zbMATH OpenOpenAlexFDO

Authors Xue-Mei Li

Publication date 11 April 2008

Published in Nonlinearity (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2110.03817, http://hdl.handle.net/10044/1/54115

zbMATH Keywords

averaging principlesingular perturbationstochastic Hamiltonian system

Mathematics Subject Classification ID

Perturbations of PDEs on manifolds; asymptotics (58J37) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We investigate the effective behaviour of a small transversal perturbation of order $epsilon$ to a completely integrable stochastic Hamiltonian system, by which we mean a stochastic differential equation whose diffusion vector fields are formed from a completely integrable family of Hamiltonian functions $H_i,i=1,dotsn$. An averaging principle is shown to hold and the action component of the solution converges, as $epsilono0$, to the solution of a deterministic system of differential equations when the time is rescaled at $1/epsilon$. An estimate for the rate of the convergence is given. In the case when the perturbation is a Hamiltonian vector field, the limiting deterministic system is constant in which case we show that the action component of the solution scaled at $1/epsilo{n}^2$ converges to that of a limiting stochastic differentiable equation.

Recommendations

• scientific article; zbMATH DE number 5305397
• Autonomous stochastic perturbations of dynamical systems
• Averaging Principle for Stochastic Perturbations of Multifrequency Systems
• Random perturbations of Hamiltonian systems
• Hamiltonian systems with Lévy noise: symplecticity, Hamilton's principle and averaging principle

Cited in

(49)

• A stochastic theory of adiabatic invariance
• Homogenisation on homogeneous spaces
• Averaging principle for one dimensional stochastic Burgers equation
• Strong averaging along foliated Lévy diffusions with heavy tails on compact leaves
• Topology of foliations and decomposition of stochastic flows of diffeomorphisms
• Averaging principle and normal deviations for multiscale stochastic systems
• Diffusion approximation for fully coupled stochastic differential equations
• Generating diffusions with fractional Brownian motion
• Rough homogenisation with fractional dynamics
• An averaging principle for slow-fast fractional stochastic parabolic equations on unbounded domains
• Averaging method for neutral stochastic delay differential equations driven by fractional Brownian motion
• Hamiltonian systems with Lévy noise: symplecticity, Hamilton's principle and averaging principle
• Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations
• Reduction and integrability of stochastic dynamical systems
• Averaging of Hamiltonian flows with an ergodic component
• Strong convergence rates in averaging principle for slow-fast McKean-Vlasov SPDEs
• Random perturbation to the geodesic equation
• An averaging principle for diffusions in foliated spaces
• Stochastic averaging with a flattened Hamiltonian: A Markov process on a stratified space (a whiskered sphere)
• Decomposition of stochastic flows in manifolds with complementary distributions
• Reduction and reconstruction of stochastic differential equations via symmetries
• An averaging principle for two-scale stochastic partial differential equations
• Limits of random differential equations on manifolds
• Stochastic Averaging of Quasi-Nonintegrable-Hamiltonian Systems
• Stochastic Averaging of Quasi-Integrable Hamiltonian Systems
• Averaging along foliated Lévy diffusions
• scientific article; zbMATH DE number 774033 (Why is no real title available?)
• Decomposition of stochastic flow and an averaging principle for slow perturbations
• Formulation of stochastic contact Hamiltonian systems
• Stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients
• A strong averaging principle for Lévy diffusions in foliated spaces with unbounded leaves
• Stochastic averaging for a completely integrable Hamiltonian system with fractional Brownian motion
• A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations
• Central limit type theorem and large deviation principle for multi-scale McKean-Vlasov SDEs
• A moderate deviation principle for stochastic Hamiltonian systems
• Fast-slow stochastic dynamical system with singular coefficients
• A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion
• Asymptotic behavior of multiscale stochastic partial differential equations with Hölder coefficients
• Averaging and mixing for stochastic perturbations of linear conservative systems
• Nonlinear model reduction for slow-fast stochastic systems near unknown invariant manifolds
• Strong convergence in stochastic averaging principle for two time-scales stochastic partial differential equations
• Strong convergence of multi-scale stochastic differential equations with a full dependence
• The central limit theorems for integrable Hamiltonian systems perturbed by white noise
• Decomposition of stochastic flows generated by Stratonovich SDEs with jumps
• Optimal convergence rates in the averaging principle for multiscale FBSDEs with Lipschitz coefficients
• Large time behaviour for the semigroup of the kinetic Brownian motion in the plane
• Averaging dynamics driven by fractional Brownian motion
• Degenerate semigroups and stochastic flows of mappings in foliated manifolds
• Diffusion in Hamiltonian systems with a small stochastic perturbation

This page was built for publication: An averaging principle for a completely integrable stochastic Hamiltonian system

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5458169)