Electronic Communications in Probability

Double averaging principle for periodically forced stochastic slow-fast systems

Gilles Wainrib

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Abstract

This paper is devoted to obtaining an averaging principle for systems of slow-fast stochastic differential equations, where the fast variable drift is periodically modulated on a fast time-scale. The approach developed here combines probabilistic methods with a recent analytical result on long-time behavior for second order elliptic equations with time-periodic coefficients.

Article information

Source
Electron. Commun. Probab., Volume 18 (2013), paper no. 51, 12 pp.

Dates
Accepted: 26 June 2013
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465315590

Digital Object Identifier
doi:10.1214/ECP.v18-1975

Mathematical Reviews number (MathSciNet)
MR3078014

Zentralblatt MATH identifier
1297.70015

Subjects
Primary: 70K70: Systems with slow and fast motions
Secondary: 65C30: Stochastic differential and integral equations

Keywords
averaging principle slow-fast stochastic differential equation periodic averaging inhomogeneous Markov process

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Wainrib, Gilles. Double averaging principle for periodically forced stochastic slow-fast systems. Electron. Commun. Probab. 18 (2013), paper no. 51, 12 pp. doi:10.1214/ECP.v18-1975. https://projecteuclid.org/euclid.ecp/1465315590


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References

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