Stochastic averaging for a class of two-time-scale systems of stochastic partial differential equations

Bin Pei, Yong Xu, George Yin

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33 引用 (Scopus)

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
页(从-至)159-176
页数18
期刊Nonlinear Analysis, Theory, Methods and Applications
160
DOI
出版状态已出版 - 9月 2017

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