Weak averaging of semilinear stochastic differential equations with almost periodic coefficients

By M. Kamenski, O. Mellah, P. R. D. Fitte. 2012

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An averaging result is proved for stochastic evolution equations with highly oscillating coefficients. This result applies in particular to equations with almost periodic coefficients. The convergence to the solution of the averaged equation is obtained in distribution, as in previous works by Khasminskii and Vrkoc. This version corrects two minor errors from our paper published in J. Math. Anal. Appl. 427(1):336–364, 2015.

Subfields: Applied Mathematics, Computational Theory and Mathematics, Finance

View Paper: https://www.semanticscholar.org/paper/32568c7da69dcbbd5b9339c501f096c2a0a28951