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DIFFUSION APPROXIMATION FOR NON-AUTONOMOUS MULTI-SCALE STOCHASTIC SYSTEMS
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DOI：10.3934/cpaa.2026048.png)
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Abstract
En 中文
. In this paper, we employed the parameter-dependent infinite-horizon time-inhomogeneous Kolmogorov equation in the whole space to study the diffusion approximation of the non-autonomous multi-scale stochastic system with irregular coefficients, where both the fast and slow equations depend on a highly oscillating time component. We derived a double-homogenized limit for the system as the scale converges to 0 and obtained the rate of convergence.
Keywords:
Non-autonomous system
diffusion approximation
infinite-horizon time-inhomogeneous Kolmogorov equation
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0.9
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88
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