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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
Published in: journal Stochastic Analysis and Applications, Volume 13, Issue 3 1995 , pages 307 - 322
Formats available: PDF (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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