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arXiv · 1212.1587

An averaging principle for diffusions in foliated spaces

Ivan I. Gonzales-Gargate·Paulo R. Ruffino
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Abstract

Consider an SDE on a foliated manifold whose trajectories lay on compact leaves. We investigate the effective behavior of a small transversal perturbation of order $\varepsilon$. An average principle is shown to hold such that the component transversal to the leaves converges to the solution of a deterministic ODE, according to the average of the perturbing vector field with respect to invariant measures on the leaves, as $\varepsilon$ goes to zero. An estimate of the rate of convergence is given. These results generalize the geometrical scope of previous approaches, including completely integrable stochastic Hamiltonian system.

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Ivan I. Gonzales-Gargate, Paulo R. Ruffino. 2016-02-10. An averaging principle for diffusions in foliated spaces. https://doi.org/10.1214/14-aop982

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