Asymptotic behavior of multiscale stochastic partial differential equations with Hölder coefficients

DOI10.1016/J.JFA.2023.110103zbMATH Open1521.60031arXiv2010.14897OpenAlexW4385336987MaRDI QIDQ6175752FDOQ6175752

Authors: Michael Röckner, Longjie Xie, Li Yang 

Publication date: 18 August 2023

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: In this paper, we study the asymptotic behavior of a semi-linear slow-fast stochastic partial differential equation with singular coefficients. Using the Poisson equation in Hilbert space, we first establish the strong convergence in the averaging principe, which can be viewed as a functional law of large numbers. Then we study the stochastic fluctuations between the original system and its averaged equation. We show that the normalized difference converges weakly to an Ornstein-Uhlenbeck type process, which can be viewed as a functional central limit theorem. Furthermore, rates of convergence both for the strong convergence and the normal deviation are obtained, and these convergence are shown not to depend on the regularity of the coefficients in the equation for the fast variable, which coincides with the intuition, since in the limit systems the fast component has been totally averaged or homogenized out.

Full work available at URL: https://arxiv.org/abs/2010.14897

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zbMATH Keywords

stochastic partial differential equationsaveraging principlenormal deviationsPoisson equation in Hilbert space

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05) Averaging of perturbations for nonlinear problems in mechanics (70K65)

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Cited In (7)

• Asymptotic behavior of a class of multiple time scales stochastic kinetic equations
• Strong and weak convergence for the averaging principle of DDSDE with singular drift
• Dynamics and absorption properties of stochastic equations with Hölder diffusion coefficients
• Central limit type theorem and large deviation principle for multi-scale McKean-Vlasov SDEs
• Strong convergence of multi-scale stochastic differential equations with a full dependence
• Averaging principle and normal deviations for multi-scale stochastic hyperbolic-parabolic equations
• The order of convergence in the averaging principle for slow-fast systems of stochastic evolution equations in Hilbert spaces

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