An averaging principle for diffusions in foliated spaces
Abstract
Consider an SDE on a foliated manifold whose trajectories lay on compact leaves. We investigate the effective behavior of a small transversal perturbation of order . An average principle is shown to hold such that the component transversal to the leaves converges to the solution of a deterministic ODE, according to the average of the perturbing vector field with respect to invariant measures on the leaves, as goes to zero. An estimate of the rate of convergence is given. These results generalize the geometrical scope of previous approaches, including completely integrable stochastic Hamiltonian system.
Keywords
Cite
@article{arxiv.1212.1587,
title = {An averaging principle for diffusions in foliated spaces},
author = {Ivan I. Gonzales-Gargate and Paulo R. Ruffino},
journal= {arXiv preprint arXiv:1212.1587},
year = {2016}
}
Comments
Published at http://dx.doi.org/10.1214/14-AOP982 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)