Fluctuations in the averaging scheme for differential equations with random pulsed action
The authors consider a differential equation with random pulsed action of the form \[ dx/dt=\epsilon X(t,x,w)\text{ for } t\neq t_ i,\quad \Delta x=\epsilon I_ i(x,w)\text{ at } t=t_ i,\quad i=1,2,..., \] where X and \(I_ i\) are random fields. The purpose of the paper is to obtain results on the limiting behaviour of the solutions as \(\epsilon\to 0\) similar to known results proved by Khas'minskij and other authors in the case of random differential equations (without pulsed action). Under several technical assumptions, it is proved that the process \[ X_{\epsilon}(\tau/\epsilon)= (x(t)-\bar x(t))/\sqrt{\epsilon} \] converges weakly as \(\epsilon\to 0\) to the solution of a stochastic equation of Itô type with coefficients given by suitable averages of X and \(I_ i\). Here \(x(t)\) is the solution of the original random equation, while \(\bar x(t)\) is the solution of the corresponding averaged system. Finally, the case of equations with coefficients which are periodic in a broad sense is considered in detail.
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