Averaging dynamics driven by fractional Brownian motion

Citation
Hairer, Martin et Li, Xue-mei, Averaging dynamics driven by fractional Brownian motion, Annals of probability (Online) , 48(4), 2020, pp. 1826-1860
ISSN journal
2168894X
Volume
48
Issue
4
Year of publication
2020
Pages
1826 - 1860
Database
ACNP
SICI code
Abstract
We consider slow/fast systems where the slow system is driven by fractional Brownian motion with Hurst parameter H>12. We show that unlike in the case H=12, convergence to the averaged solution takes place in probability and the limiting process solves the .naïvely. averaged equation. Our proof strongly relies on the recently obtained stochastic sewing lemma.