Strong convergence rate of principle of averaging for jump-diffusion processes

DOI10.1007/S11464-012-0193-6zbMATH Open1255.60098OpenAlexW2119948354MaRDI QIDQ693192FDOQ693192

Di Liu

Publication date: 7 December 2012

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-012-0193-6

Recommendations

• Strong convergence of principle of averaging for multiscale stochastic dynamical systems
• \(L^p(p > 2)\)-strong convergence of an averaging principle for two-time-scales jump-diffusion stochastic differential equations
• Strong Convergence Rate for Two-Time-Scale Jump-Diffusion Stochastic Differential Systems
• Strong and weak convergence rates for slow-fast stochastic differential equations driven by \(\alpha \)-stable process
• Strong convergence rate of the averaging principle for a class of slow–fast stochastic evolution equations

zbMATH Keywords

stochastic differential equationstime scale separationaveraging of perturbations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Averaging of perturbations for nonlinear problems in mechanics (70K65)

Cites Work

• Weak convergence methods and singularly perturbed stochastic control and filtering problems
• Stability of Markovian processes II: continuous-time processes and sampled chains
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Strong Convergence Rate for Two-Time-Scale Jump-Diffusion Stochastic Differential Systems
• Stability of Markovian processes I: criteria for discrete-time Chains
• Title not available (Why is that?)
• Strong convergence of principle of averaging for multiscale stochastic dynamical systems
• STOCHASTIC VERSIONS OF ANOSOV'S AND NEISTADT'S THEOREMS ON AVERAGING
• The heterogeneous multiscale methods
• On Averaging Principles: An Asymptotic Expansion Approach
• Principle of Averaging for Parabolic and Elliptic Differential Equations and for Markov Processes with Small Diffusion
• Analysis of multiscale methods for stochastic differential equations
• Strong convergence of projective integration schemes for singularly perturbed stochastic differential systems
• Numerical techniques for multi-scale dynamical systems with stochastic effects
• Invariant measure for diffusions with jumps
• Title not available (Why is that?)
• Analysis of multiscale methods for stochastic dynamical systems with multiple time scales

Cited In (12)

• A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion
• Asymptotic behavior for multi-scale SDEs with monotonicity coefficients driven by Lévy processes
• Strong averaging principle for two-time-scale SDEs with non-Lipschitz coefficients
• Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations
• \(L^p(p > 2)\)-strong convergence of an averaging principle for two-time-scales jump-diffusion stochastic differential equations
• Large deviations for Lévy diffusions in the small noise regime
• Averaging principle for equation driven by a stochastic measure
• Stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients
• Strong Convergence Rate for Two-Time-Scale Jump-Diffusion Stochastic Differential Systems
• Strong and weak convergence rates for slow-fast stochastic differential equations driven by \(\alpha \)-stable process
• A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations
• Weak order in averaging principle for stochastic differential equations with jumps

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