Strong and weak convergence for the averaging principle of DDSDE with singular drift
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Publication:6201866
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Averaging method for ordinary differential equations (34C29) PDEs with randomness, stochastic partial differential equations (35R60)
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.
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