Weak order in averaging principle for stochastic differential equations with jumps

Weak order in averaging principle for stochastic differential equations with jumps

Abstract In this paper, we deal with the averaging principle for a two-time-scale system of jump-diffusion stochastic differential equations. Under suitable conditions, we expand the weak error in powers of timescale parameter. We prove that the rate of weak convergence to the averaged dynamics is o...

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Bibliographic Details
Main Authors: Bengong Zhang, Hongbo Fu, Li Wan, Jicheng Liu
Format: Article
Language:English
Published: SpringerOpen 2018-05-01
Series:Advances in Difference Equations
Subjects:
Jump-diffusion
Averaging principle
Invariant measure
Weak convergence
Asymptotic expansion
Online Access:http://link.springer.com/article/10.1186/s13662-018-1638-3

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