An averaging principle for diffusions in foliated manifolds

  • Paulo R. C. Ruffino (Universidade Estadual de Campinas, Brazil, and Humboldt-Universität zu Berlin, Germany)
A3 02 (Seminar room)


Consider a stochastic differential equation on a foliated manifold whose trajectories lay on compact leaves. We investigate the effective behaviour of a small transversal perturbation of order $\epsilon$. An average principle is shown to hold such that the component transversal to the leaves converges to the solution of a deterministic ODE, according to the average of the perturbing vector field with respect to invariant measures on the leaves, as $\epsilon$ goes to zero. An estimate of the rate of convergence is given. These results generalize the geometrical scope of previous approaches, including completely integrable stochastic Hamiltonian system.

Katharina Matschke

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