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journal article
AVERAGING DYNAMICS DRIVEN BY FRACTIONAL BROWNIAN MOTION
July 1, 2020
We consider slow/fast systems where the slow system is driven by fractional Brownian motion with Hurst parameter H > 1/2. We show that unlike in the case H = 1/2, convergence to the averaged solution takes place in probability and the limiting process solves the 'naively' averaged equation. Our proof strongly relies on the recently obtained stochastic sewing lemma.
Type
journal article
Web of Science ID
WOS:000551852300006
Authors
Publication date
2020-07-01
Publisher
Published in
Volume
48
Issue
4
Start page
1826
End page
1860
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
September 17, 2024
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