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arXiv · 2412.09188

Infinite-horizon time-inhomogeneous Kolmogorov equation and non-autonomous multi-scale stochastic systems

Ling Wang·Pengcheng Xia·Longjie Xie·Li Yang
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Abstract

We propose a unified approach, based on the infinite-horizon time-inhomogeneous Kolmogorov equation with a parameter, to study the asymptotic behavior of non-autonomous multi-scale stochastic systems with irregular coefficients, where both the fast and the slow equations depend on the highly oscillating time component. We establish both the weak and strong convergence of double averaging principle as well as the functional central limit theorem with new homogenized coefficients given in terms of the evolution system of invariant measures of the time-inhomogeneous fast frozen equation. Moreover, rates of convergence are obtained as byproducts of our argument, which do not depend on the regularities of the coefficients with respect to the time component and the fast variable.

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Ling Wang, Pengcheng Xia, Longjie Xie, Li Yang. 2024-12-12. Infinite-horizon time-inhomogeneous Kolmogorov equation and non-autonomous multi-scale stochastic systems. https://arxiv.org/abs/2412.09188

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