KMS Of Academy of mathematics and systems sciences, CAS
| Strong convergence order for slow-fast McKean-Vlasov stochastic differential equations | |
| Rockner, Michael1,2; Sun, Xiaobin3,4; Xie, Yingchao3,4 | |
| 2021-02-01 | |
| Source Publication | ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES
 |
| ISSN | 0246-0203 |
| Volume | 57Issue:1Pages:547-576 |
| Abstract | In this paper, we consider the averaging principle for a class of McKean-Vlasov stochastic differential equations with slow and fast time-scales. Under some proper assumptions on the coefficients, we first prove that the slow component strongly converges to the solution of the corresponding averaged equation with convergence order 1/3 using the approach of time discretization. Furthermore, under stronger regularity conditions on the coefficients, we use the technique of Poisson equation to improve the order to 1/2, which is the optimal order of strong convergence in general. |
| Keyword | Averaging principle McKean-Vlasov stochastic differential equations Slow-fast Poisson equation Strong convergence order |
| DOI | 10.1214/20-AIHP1087 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | NSFC[11771187] ; NSFC[11931004] ; Priority Academic Program Development of Jiangsu Higher Education Institutions ; DFG[CRC 1283] |
| WOS Research Area | Mathematics |
| WOS Subject | Statistics & Probability |
| WOS ID | WOS:000628812400019 |
| Publisher | INST MATHEMATICAL STATISTICS-IMS |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/58337 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Rockner, Michael |
| Affiliation | 1.Univ Bielefeld, Fak Math, D-33501 Bielefeld, Germany 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Jiangsu Normal Univ, Sch Math & Stat, Xuzhou 221116, Jiangsu, Peoples R China 4.Jiangsu Normal Univ, Res Inst Math Sci, Xuzhou 221116, Jiangsu, Peoples R China |
| Recommended Citation GB/T 7714 | Rockner, Michael,Sun, Xiaobin,Xie, Yingchao. Strong convergence order for slow-fast McKean-Vlasov stochastic differential equations[J]. ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES,2021,57(1):547-576. |
| APA | Rockner, Michael,Sun, Xiaobin,&Xie, Yingchao.(2021).Strong convergence order for slow-fast McKean-Vlasov stochastic differential equations.ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES,57(1),547-576. |
| MLA | Rockner, Michael,et al."Strong convergence order for slow-fast McKean-Vlasov stochastic differential equations".ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES 57.1(2021):547-576. |
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