Published December 2018
| Version v1
Journal article
Weak order in averaging principle for stochastic differential equations with jumps
Creators
- 1. Wuhan Textile University, College of Mathematics and Computer Science (China)
- 2. Huazhong University of Science and Technology, School of Mathematics and Statistics (China)
Description
In this paper, we deal with the averaging principle for a two-time-scale system of jump-diffusion stochastic differential equations. Under suitable conditions, we expand the weak error in powers of timescale parameter. We prove that the rate of weak convergence to the averaged dynamics is of order 1. This reveals that the rate of weak convergence is essentially twice that of strong convergence.
Additional details
Identifiers
Publishing Information
- Journal Title
- Advances in Difference Equations (Online)
- Journal Volume
- 2018
- Journal Issue
- 1
- Journal Page Range
- p. 1-20
- ISSN
- 1687-1847
INIS
- Country of Publication
- Egypt
- Country of Input or Organization
- International Atomic Energy Agency (IAEA)
- INIS RN
- 51022903
- Subject category
- S97: MATHEMATICAL METHODS AND COMPUTING;
- Descriptors DEI
- ASYMPTOTIC SOLUTIONS; CONVERGENCE; DIFFUSION EQUATIONS; ERRORS; EXPANSION; STOCHASTIC PROCESSES
- Descriptors DEC
- DIFFERENTIAL EQUATIONS; EQUATIONS; MATHEMATICAL SOLUTIONS; PARTIAL DIFFERENTIAL EQUATIONS
Optional Information
- Copyright
- Copyright (c) 2018 The Author(s)