Averaging dynamics driven by fractional Brownian motion
File(s)Averaging.pdf (476.31 KB)
Accepted version
Author(s)
Hairer, Martin
Li, Xue-Mei
Type
Journal Article
Abstract
We consider slow / fast systems where the slow system is driven by fractionalBrownian motion with Hurst parameterH >12. We show that unlike in the caseH=12, convergence to the averaged solution takes place in probability and thelimiting process solves the ‘naïvely’ averaged equation. Our proof strongly relieson the recently obtained stochastic sewing lemma.
Date Issued
2020-07-01
Date Acceptance
2019-10-01
Citation
Annals of Probability, 2020, 48 (4), pp.1826-1860
ISSN
0091-1798
Publisher
Institute of Mathematical Statistics
Start Page
1826
End Page
1860
Journal / Book Title
Annals of Probability
Volume
48
Issue
4
Copyright Statement
© Institute of Mathematical Statistics, 2020
Sponsor
The Leverhulme Trust
Commission of the European Communities
Identifier
http://arxiv.org/abs/1902.11251v1
Grant Number
RL-2012-020-Transfer In
615897
Subjects
math.PR
math.PR
60G22, 60H10, 60H05
Publication Status
Published
Date Publish Online
2020-07-20