Electronic Communications in Probability
- Electron. Commun. Probab.
- Volume 18 (2013), paper no. 51, 12 pp.
Double averaging principle for periodically forced stochastic slow-fast systems
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.
Electron. Commun. Probab., Volume 18 (2013), paper no. 51, 12 pp.
Accepted: 26 June 2013
First available in Project Euclid: 7 June 2016
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 70K70: Systems with slow and fast motions
Secondary: 65C30: Stochastic differential and integral equations
This work is licensed under a Creative Commons Attribution 3.0 License.
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