Diffusion approximation for slow motion in fully coupled averaging
成果类型：
Article
署名作者：
Bakhtin, V; Kifer, Y
署名单位：
Belarusian State University; Hebrew University of Jerusalem
刊物名称：
PROBABILITY THEORY AND RELATED FIELDS
ISSN/ISSBN：
0178-8051
DOI：
10.1007/s00440-003-0326-7
发表日期：
2004
页码：
157-181
关键词：
摘要：
In systems which combine fast and slow motions it is usually impossible to study directly corresponding two scale equations and the averaging principle suggests to approximate the slow motion by averaging in fast variables. We consider the averaging setup when both fast and slow motions are diffusion processes depending on each other (fully coupled) and show that there exists a diffusion process which approximates the slow motion in the L-2 sense much better than the averaged motion prescribed by the averaging principle.
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