Weak order in averaging principle for stochastic differential equations with jumps

Hongbo Fu, Li Wan, Jicheng Liu, Xianming Liu

Published 2017-01-27Version 1

This article deals with the weak error for averaging principle for two-time-scale system of jump-diffusion stochastic differential equation. Under suitable conditions, it is proved that the rate of weak convergence to the averaged effective dynamics is of order $1$ via an asymptotic expansion approach.