摘要
This paper focuses on systems of stochastic partial differential equations that have a slow component driven by a fractional Brownian motion and a fast component driven by a fast-varying diffusion. We establish an averaging principle in which the fast-varying diffusion process acts as a “noise” and is averaged out in the limit. The slow process is shown to have a limit in the L2 sense, which is characterized by the solution of a stochastic partial differential equation driven by a fractional Brownian motion whose coefficients are averages of that of the original slow process with respect to the stationary measure of the fast-varying diffusion. This averaging principle paves a way for reduction of computational complexity. The implication is that one can ignore the complex original systems and concentrate on the average systems instead.
源语言 | 英语 |
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页(从-至) | 159-176 |
页数 | 18 |
期刊 | Nonlinear Analysis, Theory, Methods and Applications |
卷 | 160 |
DOI | |
出版状态 | 已出版 - 9月 2017 |