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Weak order in averaging principle for two-time-scale stochastic partial differential equations

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arxiv 1802.00903 v1 pith:YGPMZLRM submitted 2018-02-03 math.PR

classification math.PR
keywords averagingdifferentialequationsorderpartialprincipleslowstochastic
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abstract

This work is devoted to averaging principle of a two-time-scale stochastic partial differential equation on a bounded interval $[0, l]$, where both the fast and slow components are directly perturbed by additive noises. Under some regular conditions on drift coefficients, it is proved that the rate of weak convergence for the slow variable to the averaged dynamics is of order $1-\varepsilon$ for arbitrarily small $\varepsilon>0$. The proof is based on an asymptotic expansion of solutions to Kolmogorov equations associated with the multiple-time-scale system.

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