This article is cited in 6 scientific papers (total in 6 papers)
On rate of mixing and the averaging principle for hypoelliptic stochastic differential equations
A. Yu. Veretennikov
Exponential estimates are obtained for the strong mixing coefficient and the coefficient of complete regularity for diffusion processes with degenerate diffusion that are stable in a certain sense. An averaging principle for Itô stochastic equations is obtained with the help of these estimates.
Bibliography: 15 titles.
PDF file (1215 kB)
Mathematics of the USSR-Izvestiya, 1989, 33:2, 221–231
MSC: Primary 60H15, 35H05, 60J60; Secondary 47A35
A. Yu. Veretennikov, “On rate of mixing and the averaging principle for hypoelliptic stochastic differential equations”, Izv. Akad. Nauk SSSR Ser. Mat., 52:5 (1988), 899–908; Math. USSR-Izv., 33:2 (1989), 221–231
Citation in format AMSBIB
\paper On~rate of mixing and the averaging principle for hypoelliptic stochastic differential equations
\jour Izv. Akad. Nauk SSSR Ser. Mat.
\jour Math. USSR-Izv.
Citing articles on Google Scholar:
Related articles on Google Scholar:
This publication is cited in the following articles:
S. M. Pergamenshchikov, “Asymptotic expansions for a model with distinguished “fast” and “slow” variables, described by a system of singularly perturbed stochastic differential equations”, Russian Math. Surveys, 49:4 (1994), 1–44
Susanne Ditlevsen, Michael Sorensen, “Inference for Observations of Integrated Diffusion Processes”, Scand j statist, 31:3 (2004), 417
A. Yu. Veretennikov, S. A. Klokov, “On subexponential mixing rate for Markov processes”, Theory Probab. Appl., 49:1 (2005), 110–122
N. Abourashchi, A. Yu. Veretennikov, “On stochastic averaging and mixing”, Theory Stoch. Process., 16(32):1 (2010), 111–129
Carsten Hartmann, “Balanced model reduction of partially observed Langevin equations: an averaging principle”, Mathematical and Computer Modelling of Dynamical Systems, 17:5 (2011), 463
A. R. Shirikyan, “Controllability implies mixing. I. Convergence in the total variation metric”, Russian Math. Surveys, 72:5 (2017), 939–953
|Number of views:|