Abstract:We propose a unified approach, based on the infinite-horizon time-inhomogeneous Kolmogorov equation with a parameter, to study the asymptotic behavior of non-autonomous multi-scale stochastic systems with irregular coefficients, where both the fast and the slow equations depend on the highly oscillating time component. We establish both the weak and strong convergence of double averaging principle as well as the functional central limit theorem with new homogenized coefficients given in terms of the evolution system of invariant measures of the time-inhomogeneous fast frozen equation. Moreover, rates of convergence are obtained as byproducts of our argument, which do not depend on the regularities of the coefficients with respect to the time component and the fast variable.
From: Li Yang [view email]
[v1]
Thu, 12 Dec 2024 11:32:10 UTC (24 KB)
[v2]
Sun, 6 Sep 2026 10:00:46 UTC (33 KB)
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。