Averaging principle for stochastic differential equations in the random periodic regime

Kenneth Uda

Stochastic Processes and their Applications, 2021, vol. 139, issue C, 1-36

Abstract: We present the validity of stochastic averaging principle for non-autonomous slow–fast stochastic differential equations (SDEs) whose fast motions admit random periodic solutions. Our investigation is motivated by some problems arising from multi-scale stochastic dynamical systems, where configurations are time dependent due to nonlinearity of the underlying vector fields and the onset of time dependent random invariant sets. Averaging principle with respect to uniform ergodicity of the fast motion is no longer available in this scenario. The ergodicity of time periodic measures of the fast motion on certain minimal Poincaré section is used to identify the averaging limit.

Keywords: Periodic measures; PS-ergodicity; Random periodic paths; Stochastic averaging principle; Hömander’s Lie bracket condition (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spa.2021.04.017

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