Related papers: Averaging principle and normal deviation for multi…
In this paper, we study the asymptotic error distribution for a two-level irregular discretization scheme of the solution to the stochastic differential equations (SDE for short) driven by a continuous semimartingale and obtain a central…
We study the large deviations principle for locally periodic stochastic differential equations with small noise and fast oscillating coefficients. There are three possible regimes depending on how fast the intensity of the noise goes to…
Consider the stochastic differential equation in $\rr^d$ dX^{\e}_t&=b(X^{\e}_t)dt+\sqrt{\e}\sigma(X^\e_t)dB_t X^{\e}_0&=x_0,\quad x_0\in\rr^d$ where $b:\rr^d\to\rr^d$ is $C^1$ such that $<x,b(x)> \leq C(1+|x|^2)$, $\sigma:\rr^d\to…
The asymptotic behavior for fully coupled multiscale stochastic systems becomes much complicated when the fast processes do not locate in a compact space. An example is constructed to show that the averaged coefficients may become…
This paper is devoted to investigating the Freidlin-Wentzell's large deviation principle for a class of McKean-Vlasov quasilinear SPDEs perturbed by small multiplicative noise. We adopt the variational framework and the modified weak…
In this paper, we study a class of slow-fast stochastic partial differential equations with multiplicative Wiener noise. Under some appropriate conditions, we prove the slow component converges to the solution of the corresponding averaged…
We introduce a novel spectral, finite-dimensional approximation of general Sobolev spaces in terms of Chebyshev polynomials. Based on this polynomial surrogate model (PSM), we realise a variational formulation, solving a vast class of…
This work concerns about stochastic Burgers type equations with reflection. First of all, by means of the equicontinuous uniform Laplace principle, we prove the Freidlin-Wentzell uniform large deviation principle for these equations…
We introduce an algorithm based on semidefinite programming that yields increasing (resp. decreasing) sequences of lower (resp. upper) bounds on polynomial stationary averages of diffusions with polynomial drift vector and diffusion…
We consider a general class of infinite dimensional reversible differential systems. Assuming a non resonance condition on the linear frequencies, we construct for such systems almost invariant pseudo norms that are closed to Sobolev-like…
We show an averaging result for a system of stochastic evolution equations of parabolic type with slow and fast time scales. We derive explicit bounds for the approximation error with respect to the small parameter defining the fast time…
The standard small-time functional central limit theorem of semimartingales has been established in (Gerhold, S., Kleinert, M., Porkert, P., and Shkolnikov, M. (2015). Small time central limit theorems for semimartingales with applications.…
In this paper, we investigate a class of McKean-Vlasov stochastic differential equations under L\'evy-type perturbations. We first establish the existence and uniqueness theorem for solutions of the McKean-Vlasov stochastic differential…
We investigate the average characteristic polynomial $\mathbb E\big[\prod_{i=1}^N(z-x_i)\big] $ where the $x_i$'s are real random variables which form a determinantal point process associated to a bounded projection operator. For a subclass…
We consider a one-dimensional stochastic differential equation driven by a Wiener process, where the diffusion coefficient depends on an ergodic fast process. The averaging principle is satisfied: it is well-known that the slow component…
We study large deviation properties of systems of weakly interacting particles modeled by It\^{o} stochastic differential equations (SDEs). It is known under certain conditions that the corresponding sequence of empirical measures…
This work is concerned with Freidlin-Wentzell type large deviation principle for a family of multi-scale quasilinear and semilinear stochastic partial differential equations. Employing the weak convergence method and Khasminskii's time…
The averaging principle for slow-fast systems of various kind of stochastic (partial) differential equations has been extensively studied. An analogous result was shown for slow-fast systems of rough differential equations driven by random…
This paper establishes a quantitative, uniform-in-time diffusion approximation for the joint law of a broad class of fully coupled multiscale stochastic systems. We derive a precise characterization of the limiting joint distribution as a…
In this paper, we investigate the averaging principle for a class of semilinear slow-fast partial differential equations driven by finite-dimensional rough multiplicative noise. Specifically, the slow component is driven by a general random…