The order of convergence in the averaging principle for slow-fast systems of stochastic evolution equations in Hilbert spaces

DOI10.1007/S00245-023-10018-0zbMATH Open1527.60046arXiv2203.17071MaRDI QIDQ6166352FDOQ6166352

Filippo de Feo

Publication date: 6 July 2023

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: In this work we are concerned with the study of the strong order of convergence in the averaging principle for slow-fast systems of stochastic evolution equations in Hilbert spaces with additive noise. In particular the stochastic perturbations are general Wiener processes, i.e their covariance operators are allowed to be not trace class. We prove that the slow component converges strongly to the averaged one with order of convergence $1/2$ which is known to be optimal. Moreover we apply this result to a slow-fast stochastic reaction diffusion system where the stochastic perturbation is given by a white noise both in time and space.

Full work available at URL: https://arxiv.org/abs/2203.17071

zbMATH Keywords

averaging principleslow fast differential equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Semigroups of linear operators and applications to partial differential equations
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility
• Averaging principle for a class of stochastic reaction-diffusion equations
• A Khasminskii type averaging principle for stochastic reaction-diffusion equations
• Strong Convergence Rate for Two-Time-Scale Jump-Diffusion Stochastic Differential Systems
• Average and deviation for slow-fast stochastic partial differential equations
• Stochastic averaging principle for systems with pathwise uniqueness
• Ergodicity for Infinite Dimensional Systems
• Stochastic Equations in Infinite Dimensions
• Strong convergence of principle of averaging for multiscale stochastic dynamical systems
• Averaging Principle for Systems of Reaction-Diffusion Equations with Polynomial Nonlinearities Perturbed by Multiplicative Noise
• ON THE AVERAGING PRINCIPLE FOR SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS
• Averaging principle and systems of singularly perturbed stochastic differential equations
• Strong and weak orders in averaging for SPDEs
• On Averaging Principles: An Asymptotic Expansion Approach
• Analysis of multiscale methods for stochastic differential equations
• Strong convergence in averaging principle for stochastic hyperbolic-parabolic equations with two time-scales
• Normal deviations from the averaged motion for some reaction-diffusion equations with fast oscillating perturbation
• Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions
• Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients
• Averaging principle for one dimensional stochastic Burgers equation
• Averaging Principle for Nonautonomous Slow-Fast Systems of Stochastic Reaction-Diffusion Equations: The Almost Periodic Case
• Averaging principle for stochastic differential equations in the random periodic regime
• Weak order in averaging principle for stochastic wave equation with a fast oscillation
• Weak order in averaging principle for stochastic differential equations with jumps
• Strong averaging principle for two-time-scale SDEs with non-Lipschitz coefficients
• Orders of convergence in the averaging principle for SPDEs: the case of a stochastically forced slow component
• Singular limit of BSDEs and optimal control of two scale stochastic systems in infinite dimensional spaces
• Analysis of an HMM time-discretization scheme for a system of stochastic PDEs
• The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model
• Asymptotic behavior of multiscale stochastic partial differential equations with Hölder coefficients
• Singular Limit of Two-Scale Stochastic Optimal Control Problems in Infinite Dimensions by Vanishing Noise Regularization

Cited In (3)

• Asymptotic behavior for multi-scale SDEs with monotonicity coefficients driven by Lévy processes
• On \(L^p\)-strong convergence of an averaging principle for non-Lipschitz slow-fast systems with Lévy noise
• Title not available (Why is that?)

This page was built for publication: The order of convergence in the averaging principle for slow-fast systems of stochastic evolution equations in Hilbert spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6166352)