Weak order in averaging principle for stochastic differential equations with jumps
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 o...
Main Authors: | Bengong Zhang, Hongbo Fu, Li Wan, Jicheng Liu |
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Format: | Article |
Language: | English |
Published: |
SpringerOpen
2018-05-01
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Series: | Advances in Difference Equations |
Subjects: | |
Online Access: | http://link.springer.com/article/10.1186/s13662-018-1638-3 |
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