Thursday, February 9, 2023 - 12:30 in ZOOM - Video Conference
Continuation of "Strong and weak convergence for averaging principle of DDSDE with singular drift"
A talk in the Cluster Group Stochastic Analysis series by
Zimo Hao
| Abstract: |
In these lectures, we study the averaging principle for distribution-dependent stochastic differential equations with drift in localized Lp spaces. Using Zvonkin's transformation and estimates for solutions to Kolmogorov equations, we prove that the solutions of the original system strongly and weakly converge to the solution of the averaged system as the time scale goes to zero. Moreover, we obtain rates of the strong and weak convergence that depend on p respectively. The lectures are based on the paper arXiv:2207.12108v3.
Within the CRC this talk is associated to the project(s): A5, B1 |
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