Asymptotic behavior for multi-scale SDEs with monotonicity coefficients driven by L\'evy processes
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Publication:6407972
arXiv2208.07560MaRDI QIDQ6407972FDOQ6407972
Yinghui Shi, Xiaobin Sun, Yingchao Xie, Liqiong Wang
Publication date: 16 August 2022
Abstract: In this paper, we study the asymptotic behavior for multi-scale stochastic differential equations driven by L'evy processes. The optimal strong convergence order 1/2 is obtained by studying the regularity estimates for the solution of Poisson equation with polynomial growth coefficients, and the optimal weak convergence order 1 is got by using the technique of Kolmogorov equation. The main contribution is that the obtained results can be applied to a class of multi-scale stochastic differential equations with monotonicity coefficients, as well as the driven processes can be the general L'evy processes, which seems new in the existing literature.
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