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Strong convergence rate of principle of averaging for jump-diffusion processes 被引量：2

Strong convergence rate of principle of averaging for jump-diffusion processes
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摘要 We study jump-diffusion processes with two well-separated time scales. It is proved that the rate of strong convergence to the averaged effective dynamics is of order O（ε1/2）, where s 〈〈 1 is the parameter measuring the disparity of the time scales in the system. The convergence rate is shown to be optimal through examples. The result sheds light on the designing of efficient numerical methods for multiscale stochastic ,dynamics. We study jump-diffusion processes with two well-separated time scales. It is proved that the rate of strong convergence to the averaged effective dynamics is of order O（ε1/2）, where s 〈〈 1 is the parameter measuring the disparity of the time scales in the system. The convergence rate is shown to be optimal through examples. The result sheds light on the designing of efficient numerical methods for multiscale stochastic ,dynamics.
作者 Di LIU
机构地区 Department of Mathematics
出处 《Frontiers of Mathematics in China》 SCIE CSCD 2012年第2期305-320,共16页 中国高等学校学术文摘·数学（英文）
关键词 Stochastic differential equation time scale separation averaging ofperturbations Stochastic differential equation, time scale separation, averaging ofperturbations
分类号 O212.1 [理学—概率论与数理统计] O211.6 [理学—概率论与数理统计]
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参考文献18

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Frontiers of Mathematics in China
2012年 第2期

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