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Averaging along foliated Levy diffusions

  • This article studies the dynamics of the strong solution of a SDE driven by a discontinuous Levy process taking values in a smooth foliated manifold with compact leaves. It is assumed that it is foliated in the sense that its trajectories stay on the leaf of their initial value for all times almost surely. Under a generic ergodicity assumption for each leaf, we determine the effective behaviour of the system subject to a small smooth perturbation of order epsilon > 0, which acts transversal to the leaves. The main result states that, on average, the transversal component of the perturbed SDE converges uniformly to the solution of a deterministic ODE as e tends to zero. This transversal ODE is generated by the average of the perturbing vector field with respect to the invariant measures of the unperturbed system and varies with the transversal height of the leaves. We give upper bounds for the rates of convergence and illustrate these results for the random rotations on the circle. This article complements the results by Gonzales andThis article studies the dynamics of the strong solution of a SDE driven by a discontinuous Levy process taking values in a smooth foliated manifold with compact leaves. It is assumed that it is foliated in the sense that its trajectories stay on the leaf of their initial value for all times almost surely. Under a generic ergodicity assumption for each leaf, we determine the effective behaviour of the system subject to a small smooth perturbation of order epsilon > 0, which acts transversal to the leaves. The main result states that, on average, the transversal component of the perturbed SDE converges uniformly to the solution of a deterministic ODE as e tends to zero. This transversal ODE is generated by the average of the perturbing vector field with respect to the invariant measures of the unperturbed system and varies with the transversal height of the leaves. We give upper bounds for the rates of convergence and illustrate these results for the random rotations on the circle. This article complements the results by Gonzales and Ruffino for SDEs of Stratonovich type to general Levy driven SDEs of Marcus type.show moreshow less

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Metadaten
Author details:Michael Hoegele, Paulo Ruffino
DOI:https://doi.org/10.1016/j.na.2014.09.006
ISSN:0362-546X
ISSN:1873-5215
Title of parent work (English):Nonlinear analysis : theory, methods & applications ; an international multidisciplinary journal
Publisher:Elsevier
Place of publishing:Oxford
Publication type:Article
Language:English
Year of first publication:2015
Publication year:2015
Release date:2017/03/27
Tag:Averaging principle; Foliated spaces; Levy diffusions on manifolds; Marcus canonical equation; Perturbation theory; Stochastic Hamiltonian; Stochastic geometry
Volume:112
Number of pages:14
First page:1
Last Page:14
Funding institution:FAPESP [11/50151-0, 12/03992-1]; CNPq [477861/2013-0]
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
Peer review:Referiert
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