Abstract
In this paper, we consider the averaging principle for a class of McKean–Vlasov stochastic differential equations with slow and fast time-scales. Under some proper assumptions on the coefficients, we first prove that the slow component strongly converges to the solution of the corresponding averaged equation with convergence order 1/3 using the approach of time discretization. Furthermore, under stronger regularity conditions on the coefficients, we use the technique of Poisson equation to improve the order to 1/2, which is the optimal order of strong convergence in general.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
