Strong convergence rate in averaging principle for stochastic hyperbolic-parabolic equations with two time-scales

By Hongbo Fu, Li Wan, Jicheng Liu, Xianming Liu. 2015

57 citations recorded by the source corpus.

In this article, we investigate averaging principle for stochastic hyperbolic-parabolic equations with two time-scales, in which both the slow and fast components are perturbed by multiplicative noises. Particularly, we prove that the rate of strong convergence for the slow component to the averaged dynamics is of order $1/2$, which significantly improves the order $1/4$ established in our previous work.

Subfields: Computational Theory and Mathematics, Control and Systems Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/422d19a9027ae7118176daf9f1b668d4f19d36ff

How researchers see this paper

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In Computational Theory and Mathematics

1. Wei Hong
2. Shihu Li
3. Wei Liu
4. Xicheng Zhang
5. Michael Röckner
6. Tusheng Zhang
7. Paul Dupuis
8. A. Budhiraja

In Control and Systems Engineering

1. Wei Liu

In Finance

1. Wei Hong
2. Shihu Li
3. Wei Liu
4. Michael Röckner
5. Tusheng Zhang
6. Xicheng Zhang
7. Shijie Shang
8. A. Budhiraja

Citations in the corpus

• Strong convergence rates in averaging principle for slow-fast McKean-Vlasov SPDEs (2021, background): “[15, 18, 19]) but strong enough for our purpose, and the advantage is it only needs initial value x ∈ H1, y ∈ H2.”
• Orders of convergence in the averaging principle for SPDEs: The case of a stochastically forced slow component (2018, unknown): “See [17, 18], for some parabolic-hyperbolic systems.”