English

Strong and weak convergence rates for fully coupled multiscale stochastic differential equations driven by $\alpha$-stable processes

Probability 2026-03-03 v3

Abstract

We first establish strong convergence rates for multiscale systems driven by α\alpha-stable processes, with analyses constructed in two distinct scaling regimes. When addressing weak convergence rates of this system, we derive four averaged equations with respect to four scaling regimes. Notably, under sufficient H\"{o}lder regularity conditions on the time-dependent drifts of slow process, the strong convergence orders are related to the known optimal strong convergence order 11α1-\frac{1}{\alpha}, and the weak convergence orders are 1. Our primary approach involves employing nonlocal Poisson equations to construct ``corrector equations" that effectively eliminate inhomogeneous terms.

Keywords

Cite

@article{arxiv.2505.10229,
  title  = {Strong and weak convergence rates for fully coupled multiscale stochastic differential equations driven by $\alpha$-stable processes},
  author = {Kun Yin},
  journal= {arXiv preprint arXiv:2505.10229},
  year   = {2026}
}

Comments

33 pages

R2 v1 2026-06-28T23:34:22.278Z