Stochastic averaging principle for systems with pathwise uniqueness
Author:
Janusz Golec a
| Affiliation: | a Department of Mathematics, Fordham University, Bronx, New York |
DOI:
10.1080/07362999508809400
Publication Frequency:
6 issues per year
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(English)
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Abstract
An ergodic type averaging assumption is used to phase out the fast mode component of a system of singularly perturbed stochastic differential equations. The weak convergence of the slow mode variables, implied by the tightness condition, is realized as almost everywhere convergence in a modified probability space. The pathwise uniqueness property is used to unify the weak limit of the slow mode with the unique solution of the reduced System
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