Averaging principle and normal deviation for multi-scale SDEs with polynomial nonlinearity

Mengyu Cheng; Zhenxin Liu; Michael Röckner

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arXiv · 2308.10751

Averaging principle and normal deviation for multi-scale SDEs with polynomial nonlinearity

Mengyu Cheng·Zhenxin Liu·Michael Röckner

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Abstract

We investigate three types of averaging principles and the normal deviation for multi-scale stochastic differential equations (in short, SDEs) with polynomial nonlinearity. More specifically, we first demonstrate the strong convergence of the solution of SDEs, which involves highly oscillating components and fast processes, to that of the averaged equation. Then we investigate the small fluctuations of the system around its average, and show that the normalized difference weakly converges to an Ornstein-Uhlenbeck type process, which can be viewed as a functional central limit theorem. Additionally, we show that the attractor of the original system tends to that of the averaged equation in probability measure space as the time scale $\varepsilon$ goes to zero. Finally, we establish the second Bogolyubov theorem; that is to say, we prove that there exists a quasi-periodic solution in a neighborhood of the stationary solution of the averaged equation when the $\varepsilon$ is small.

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Mengyu Cheng, Zhenxin Liu, Michael Röckner. 2023-08-21. Averaging principle and normal deviation for multi-scale SDEs with polynomial nonlinearity. https://arxiv.org/abs/2308.10751

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