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  4. AVERAGING DYNAMICS DRIVEN BY FRACTIONAL BROWNIAN MOTION
 
journal article

AVERAGING DYNAMICS DRIVEN BY FRACTIONAL BROWNIAN MOTION

Hairer, Martin  
•
Li, Xue-Mei  
July 1, 2020
ANNALS OF PROBABILITY

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.

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Type
journal article
DOI
10.1214/19-AOP1408
Web of Science ID

WOS:000551852300006

Author(s)
Hairer, Martin  
Li, Xue-Mei  
Date Issued

2020-07-01

Publisher

INST MATHEMATICAL STATISTICS

Published in
ANNALS OF PROBABILITY
Volume

48

Issue

4

Start page

1826

End page

1860

Subjects

STOCHASTIC DIFFERENTIAL-EQUATIONS

•

EXISTENCE

•

ERGODICITY

•

INEQUALITY

•

UNIQUENESS

•

BOUNDS

•

Fractional Brownian motion

•

averaging

•

slow/fast system

•

sewing lemma

•

Science & Technology

•

Physical Sciences

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
PROPDE  
FunderFunding(s)Grant NumberGrant URL

ERC

615897:CRITICAL

Leverhulme trust via a Leadership Award

Available on Infoscience
September 17, 2024
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/241190
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