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math.PR2017
Time Averages of Markov Processes and Applications to Two-Timescale Problems
Bob Pepin
We show a decomposition into the sum of a martingale and a deterministic quantity for time averages of the solutions to non-autonomous SDEs and for discrete-time Markov processes.…
math.PR2017★ 1 cited
Towards a Quantitative Averaging Principle for Stochastic Differential Equations
Bob Pepin
This work explores the use of a forward-backward martingale method together with a decoupling argument and entropic estimates between the conditional and averaged measures to prove…