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Averaging along Lévy diffusions in foliated spaces

  • We consider an SDE driven by a Lévy noise on a foliated manifold, whose trajectories stay on compact leaves. We determine the effective behavior of the system subject to a small smooth transversal perturbation of positive order epsilon. More precisely, we show that the average of the transversal component of the SDE converges to the solution of a deterministic ODE, according to the average of the perturbing vector field with respect to the invariant measures on the leaves (of the unpertubed system) as epsilon goes to 0. In particular we give upper bounds for the rates of convergence. The main results which are proved for pure jump Lévy processes complement the result by Gargate and Ruffino for Stratonovich SDEs to Lévy driven SDEs of Marcus type.

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Metadaten
Verfasserangaben:Michael HögeleGND, Paulo Ruffino
URN:urn:nbn:de:kobv:517-opus-64926
ISSN:2193-6943
Schriftenreihe (Bandnummer):Preprints des Instituts für Mathematik der Universität Potsdam (2(2013)10)
Publikationstyp:Preprint
Sprache:Englisch
Erscheinungsjahr:2013
Veröffentlichende Institution:Universität Potsdam
Datum der Freischaltung:30.04.2013
Freies Schlagwort / Tag:Averaging principle; Lévy diffusions on manifolds; canonical Marcus integration; foliated diffusion
Organisationseinheiten:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
DDC-Klassifikation:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
MSC-Klassifikation:58-XX GLOBAL ANALYSIS, ANALYSIS ON MANIFOLDS [See also 32Cxx, 32Fxx, 32Wxx, 46-XX, 47Hxx, 53Cxx](For geometric integration theory, see 49Q15) / 58Jxx Partial differential equations on manifolds; differential operators [See also 32Wxx, 35-XX, 53Cxx] / 58J37 Perturbations; asymptotics
58-XX GLOBAL ANALYSIS, ANALYSIS ON MANIFOLDS [See also 32Cxx, 32Fxx, 32Wxx, 46-XX, 47Hxx, 53Cxx](For geometric integration theory, see 49Q15) / 58Jxx Partial differential equations on manifolds; differential operators [See also 32Wxx, 35-XX, 53Cxx] / 58J65 Diffusion processes and stochastic analysis on manifolds [See also 35R60, 60H10, 60J60]
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G51 Processes with independent increments; Lévy processes
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H10 Stochastic ordinary differential equations [See also 34F05]
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Jxx Markov processes / 60J60 Diffusion processes [See also 58J65]
Sammlung(en):Universität Potsdam / Schriftenreihen / Preprints des Instituts für Mathematik der Universität Potsdam, ISSN 2193-6943 / 2013
Lizenz (Deutsch):License LogoKeine öffentliche Lizenz: Unter Urheberrechtsschutz
Externe Anmerkung:RVK-Klassifikation: SI 990

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