Strong convergence of principle of averaging for multiscale stochastic dynamical systems
Di Liu · Communications in Mathematical Sciences · 2010
In this paper, we study stochastic differential equations with two well-separated time scales.We prove that the rate of strong convergence to the averaged effective dynamics is of order O(ε 1/2 ) , where ε ≪ 1 is the parameter measuring the disparity of the time scales in the system.The convergence rate is shown to be optimal through examples.