Slow-fast systems with fractional environment and dynamics
File(s)
Working paper
Author(s)
Li, Xue-Mei
Sieber, Julian
Type
Working Paper
Abstract
We prove an averaging principle for interacting slow-fast systems driven by
independent fractional Brownian motions. The mode of convergence is in H\"older
norm in probability. We also establish geometric ergodicity for a class of
fractional-driven stochastic differential equations, partially improving a
recent result of Panloup and Richard.
independent fractional Brownian motions. The mode of convergence is in H\"older
norm in probability. We also establish geometric ergodicity for a class of
fractional-driven stochastic differential equations, partially improving a
recent result of Panloup and Richard.
Date Issued
2020-12-03
Citation
2020
Publisher
arXiv
Copyright Statement
© 2020 The Author(s).
Identifier
http://arxiv.org/abs/2012.01910v1
Subjects
math.PR
math.PR
60G22, 60H10, 37A25
Notes
47 pages
Publication Status
Published