A Strong Limit Theorem for Two-Time-Scale Fucntional Stochastic Differential Equations
Probability
2015-08-31 v1
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.
Keywords
Cite
@article{arxiv.1508.07288,
title = {A Strong Limit Theorem for Two-Time-Scale Fucntional Stochastic Differential Equations},
author = {Jianhai Bao and Qingshuo Song and George Yin and Chenggui Yuan},
journal= {arXiv preprint arXiv:1508.07288},
year = {2015}
}