Pathwise unique solutions and stochastic averaging for mixed stochastic partial differential equations driven by fractional Brownian motion and Brownian motion

MaRDI QIDQ6338522zbMATH OpenFDO

Authors Bin Pei, Yuzuru Inahama, Yong Xu

Publication date 11 April 2020

Mathematics Subject Classification ID

Averaging method for ordinary differential equations (34C29) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: This paper is devoted to a system of stochastic partial differential equations (SPDEs) that have a slow component driven by fractional Brownian motion (fBm) with the Hurst parameter $H>1/2$ and a fast component driven by fast-varying diffusion. It improves previous work in two aspects: Firstly, using a stopping time technique and an approximation of the fBm, we prove an existence and uniqueness theorem for a class of mixed SPDEs driven by both fBm and Brownian motion; Secondly, an averaging principle in the mean square sense for SPDEs driven by fBm subject to an additional fast-varying diffusion process is established. To carry out these improvements, we combine the pathwise approach based on the generalized Stieltjes integration theory with the It^o stochastic calculus. Then, we obtain a desired limit process of the slow component which strongly relies on an invariant measure of the fast-varying diffusion process.

This page was built for publication: Pathwise unique solutions and stochastic averaging for mixed stochastic partial differential equations driven by fractional Brownian motion and Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6338522)