Strong and weak convergence for the averaging principle of DDSDE with singular drift
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Publication:6201866
DOI10.3150/23-BEJ1646arXiv2207.12108OpenAlexW4391458298WikidataQ128832056 ScholiaQ128832056MaRDI QIDQ6201866FDOQ6201866
Authors: Mengyu Cheng, Zimo Hao, Michael Röckner 
Publication date: 26 March 2024
Published in: Bernoulli (Search for Journal in Brave)
Abstract: In this paper, we study the averaging principle for distribution dependent stochastic differential equations with drift in localized spaces. Using Zvonkin's transformation and estimates for solutions to Kolmogorov equations, we prove that the solutions of the original system strongly and weakly converge to the solution of the averaged system as the time scale goes to zero. Moreover, we obtain rates of the strong and weak convergence that depend on respectively.
Full work available at URL: https://arxiv.org/abs/2207.12108
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