Title of article
Strong and weak orders in averaging for SPDEs
Author/Authors
Bréhier، نويسنده , , Charles-Edouard Luyt، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
41
From page
2553
To page
2593
Abstract
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 scale. We prove that the slow component of the solution of the system converges towards the solution of the averaged equation with an order of convergence 1/2 in a strong sense–approximation of trajectories–and 1 in a weak sense–approximation of laws. These orders turn out to be the same as for the SDE case.
Keywords
Stochastic partial differential equations , Averaging principle , Strong and weak approximations
Journal title
Stochastic Processes and their Applications
Serial Year
2012
Journal title
Stochastic Processes and their Applications
Record number
1578632
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