39
IRUS TotalDownloads
Altmetric
Averaging dynamics driven by fractional Brownian motion
File | Description | Size | Format | |
---|---|---|---|---|
1902.11251v1.pdf | Working paper | 418.88 kB | Adobe PDF | View/Open |
Title: | Averaging dynamics driven by fractional Brownian motion |
Authors: | Hairer, M Li, X-M |
Item Type: | Working Paper |
Abstract: | We consider slow / fast systems where the slow system is driven by fractional Brownian motion with Hurst parameter $H>{1\over 2}$. We show that unlike in the case $H={1\over 2}$, convergence to the averaged solution takes place in probability and the limiting process solves the 'na\"ively' averaged equation. Our proof strongly relies on the recently obtained stochastic sewing lemma. |
Issue Date: | 28-Feb-2019 |
URI: | http://hdl.handle.net/10044/1/72214 |
Keywords: | math.PR math.PR 60G22, 60H10, 60H05 math.PR math.PR 60G22, 60H10, 60H05 |
Appears in Collections: | Pure Mathematics Mathematics |