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Double averaging principle for periodically forced slow-fast stochastic systems

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UNIV WASHINGTON, DEPT MATHEMATICS
DOI: 10.1214/ECP.v18-1975

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averaging principle; slow-fast; stochastic differential equation; periodic averaging; inhomogeneous Markov process

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This paper is devoted to obtaining an averaging principle for systems of slow-fast stochastic differential equations, where the fast variable drift is periodically modulated on a fast time-scale. The approach developed here combines probabilistic methods with a recent analytical result on long-time behavior for second order elliptic equations with time-periodic coefficients.

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