




















We show a decomposition into the sum of a martingale and a deterministic quantity for time averages of the solutions to non-autonomous SDEs and for discrete-time Markov processes. In the SDE case the martingale has an explicit representation in terms of the gradient of the associated semigroup or transition operator. We show how the results can be used to obtain quenched Gaussian concentration inequalities for time averages and to provide insights into the Averaging principle for two-timescale processes.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。