The Library
An averaging principle for a completely integrable stochastic Hamiltonian system
Tools
Tools
Tools
Li, X-M. (2008) An averaging principle for a completely integrable stochastic Hamiltonian system. Nonlinearity, Volume 21 (Number 4). pp. 803-822. doi:10.1088/0951-7715/21/4/008 ISSN 0951-7715.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1088/0951-7715/21/4/008
Abstract
We investigate the effective behaviour of a small transversal perturbation of order epsilon to a completely integrable stochastic Hamiltonian system, by which we mean a stochastic differential equation whose diffusion vector fields are formed from a completely integrable family of Hamiltonian functions H-i, i = 1, ..., n. An averaging principle is shown to hold and the action component of the solution converges, as epsilon -> 0, to the solution of a deterministic system of differential equations when the time is rescaled at 1/epsilon. An estimate for the rate of the convergence is given. In the case when the perturbation is a Hamiltonian vector field, the limiting deterministic system is constant in which case we show that the action component of the solution scaled at 1/epsilon(2) converges to that of a limiting stochastic differentiable equation.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Subjects: | Q Science > QA Mathematics Q Science > QC Physics |
||||
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics | ||||
| Library of Congress Subject Headings (LCSH): | Hamiltonian systems, Stochastic processes | ||||
| Journal or Publication Title: | Nonlinearity | ||||
| Publisher: | IOP | ||||
| ISSN: | 0951-7715 | ||||
| Official Date: | April 2008 | ||||
| Dates: |
|
||||
| Volume: | Volume 21 | ||||
| Number: | Number 4 | ||||
| Number of Pages: | 20 | ||||
| Page Range: | pp. 803-822 | ||||
| DOI: | 10.1088/0951-7715/21/4/008 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access | ||||
| Funder: | Royal Society (Great Britain), Leverhulme Trust (LT) |
Data sourced from Thomson Reuters' Web of Knowledge
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
