A Strong Limit Theorem for Two-Time-Scale Fucntional Stochastic Differential Equations

Jianhai Bao; Qingshuo Song; George Yin; Chenggui Yuan

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arXiv · 1508.07288

A Strong Limit Theorem for Two-Time-Scale Fucntional Stochastic Differential Equations

Jianhai Bao·Qingshuo Song·George Yin·Chenggui Yuan

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Abstract

This paper focuses on a class of two-time-scale functional stochastic differential equations, where the phase space of the segment processes is infinite-dimensional. It develops ergodicity of the fast component and obtains a strong limit theorem for the averaging principle in the spirit of Khasminskii's averaging approach for the slow component.

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BibTeX RIS

Jianhai Bao, Qingshuo Song, George Yin, Chenggui Yuan. 2015-08-28. A Strong Limit Theorem for Two-Time-Scale Fucntional Stochastic Differential Equations. https://arxiv.org/abs/1508.07288

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