Strong and weak convergence for the averaging principle of DDSDE with singular drift
Cheng M, Hao Z, Röckner M (2024)
Bernoulli 30(2): 1586-1610.
Zeitschriftenaufsatz
| Veröffentlicht | Englisch
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Einrichtung
Abstract / Bemerkung
In this paper, we study the averaging principle for distribution dependent stochastic differential equations with drift in localized Lp spaces. Using Zvonkin's transformation and estimates for solutions to Kolmogorov equations, we prove that the solutions of the original system strongly and weakly converge to the solution of the averaged system as the time scale epsilon goes to zero. Moreover, we obtain rates of the strong and weak convergence that depend on p.
Stichworte
Averaging principle;
distribution dependent SDE;
heat kernel
Erscheinungsjahr
2024
Zeitschriftentitel
Bernoulli
Band
30
Ausgabe
2
Seite(n)
1586-1610
ISSN
1350-7265
eISSN
1573-9759
Page URI
https://pub.uni-bielefeld.de/record/2990406
Zitieren
Cheng M, Hao Z, Röckner M. Strong and weak convergence for the averaging principle of DDSDE with singular drift. Bernoulli. 2024;30(2):1586-1610.
Cheng, M., Hao, Z., & Röckner, M. (2024). Strong and weak convergence for the averaging principle of DDSDE with singular drift. Bernoulli, 30(2), 1586-1610. https://doi.org/10.3150/23-BEJ1646
Cheng, Mengyu, Hao, Zimo, and Röckner, Michael. 2024. “Strong and weak convergence for the averaging principle of DDSDE with singular drift”. Bernoulli 30 (2): 1586-1610.
Cheng, M., Hao, Z., and Röckner, M. (2024). Strong and weak convergence for the averaging principle of DDSDE with singular drift. Bernoulli 30, 1586-1610.
Cheng, M., Hao, Z., & Röckner, M., 2024. Strong and weak convergence for the averaging principle of DDSDE with singular drift. Bernoulli, 30(2), p 1586-1610.
M. Cheng, Z. Hao, and M. Röckner, “Strong and weak convergence for the averaging principle of DDSDE with singular drift”, Bernoulli, vol. 30, 2024, pp. 1586-1610.
Cheng, M., Hao, Z., Röckner, M.: Strong and weak convergence for the averaging principle of DDSDE with singular drift. Bernoulli. 30, 1586-1610 (2024).
Cheng, Mengyu, Hao, Zimo, and Röckner, Michael. “Strong and weak convergence for the averaging principle of DDSDE with singular drift”. Bernoulli 30.2 (2024): 1586-1610.
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