Averaging along foliated Lévy diffusions. (January 2015)

• Record Type: Journal Article
• Authors: Högele, Michael; Ruffino, Paulo
• Is Part Of: Nonlinear analysis. Volume 112(2015)
• Page Start: 1
• Page End: 14
• Publication Date: 2015-01
• Subjects: 60H10 -- 60J60 -- 60G51 -- 58J65 -- 58J37; Averaging principle -- Lévy diffusions on manifolds -- Foliated spaces -- Marcus canonical equation -- Stochastic Hamiltonian -- Stochastic geometry -- Perturbation theory; Mathematical analysis -- Periodicals; Functional analysis -- Periodicals; Nonlinear theories -- Periodicals; Analyse mathématique -- Périodiques; Analyse fonctionnelle -- Périodiques; Théories non linéaires -- Périodiques; Functional analysis; Mathematical analysis; Nonlinear theories; Periodicals; Electronic journals; 515.7248
• DOI: 10.1016/j.na.2014.09.006
• Languages: English
• ISSNs: 0362-546X

Abstract

Abstract: This article studies the dynamics of the strong solution of a SDE driven by a discontinuous Lévy process taking values in a smooth foliated manifold with compact leaves. It is assumed that it is foliated in the sense that its trajectories stay on the leaf of their initial value for all times almost surely. Under a generic ergodicity assumption for each leaf, we determine the effective behaviour of the system subject to a small smooth perturbation of order ε > 0, which acts transversal to the leaves. The main result states that, on average, the transversal component of the perturbed SDE converges uniformly to the solution of a deterministic ODE as ε tends to zero. This transversal ODE is generated by the average of the perturbing vector field with respect to the invariant measures of the unperturbed system and varies with the transversal height of the leaves. We give upper bounds for the rates of convergence and illustrate these results for the random rotations on the circle. This article complements the results by Gonzales and Ruffino for SDEs of Stratonovich type to general Lévy driven SDEs of Marcus type.