Weak order in averaging principle for stochastic differential equations with jumps

oleh: Bengong Zhang, Hongbo Fu, Li Wan, Jicheng Liu

Format: Article
Diterbitkan: SpringerOpen 2018-05-01

Deskripsi

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 orderĀ 1. This reveals that the rate of weak convergence is essentially twice that of strong convergence.