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1. Weak order in averaging principle for stochastic differential equations with jumps.

Author

Zhang, Bengong, Fu, Hongbo, Wan, Li, and Liu, Jicheng

Subjects
*AVERAGING principle, *STOCHASTIC differential equations, *DIFFUSION, *TIMESCALE number, *PARAMETERS (Statistics)
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 of order 1. This reveals that the rate of weak convergence is essentially twice that of strong convergence. [ABSTRACT FROM AUTHOR]

Published
2018
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