A Strong Limit Theorem for Two-Time-Scale Fucntional Stochastic Differential Equations

preprint2015arXivOpen access

Abstract

This paper focuses on a class of two-time-scale functional stochastic differential equations, where the phase space of the segment processes is infinite-dimensional. It develops ergodicity of the fast component and obtains a strong limit theorem for the averaging principle in the spirit of Khasminskii's averaging approach for the slow component.

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