STOCHASTIC AVERAGING PRINCIPLE FOR SYSTEMS WITH PATHWISE UNIQUENESS

被引：22

作者：

GOLEC, J ^{[1
]}

机构：

[1] FORDHAM UNIV,DEPT MATH,BRONX,NY 10458

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 1995年 / 13卷 / 03期

关键词：

D O I：

10.1080/07362999508809400

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

An ergodic type averaging assumption is used to phase out the fast mode component of a system of singularly perturbed stochastic differential equations. The weak convergence of the slow mode variables, implied by the tightness condition, is realized as almost everywhere convergence in a modified probability space. The pathwise uniqueness property is used to unify the weak limit of the slow mode with the unique solution of the reduced system.

引用

页码：307 / 322

页数：16

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