Averaging principles for two-time-scale neutral stochastic delay partial differential equations driven by fractional Brownian motions

Abstract

We prove the validity of averaging principles for two-time-scale neutral stochastic delay partial differential equations (NSDPDEs) driven by fractional Brownian motions (fBms) under two-time-scale formulation. Firstly, in the sense of mean-square convergence, we obtain not only the averaging principles for NSDPDEs involving two-time-scale Markov switching with a single weakly recurrent class but also for the case of two-time-scale Markov switching with multiple weakly irreducible classes. Secondly, averaging principles for NSDPDEs driven by fBms with random delay modulated by two-time-scale Markovian switching are established. We proved that there is a limit process in which the fast changing noise is averaged out. The limit process is substantially simpler than that of the original full fast–slow system.