Diffusion approximation for slow motion in fully coupled averaging

Abstract

In systems which combine fast and slow motions it is usually impossible to study directly corresponding two scale equations and the averaging principle suggests to approximate the slow motion by averaging in fast variables. We consider the averaging setup when both fast and slow motions are diffusion processes depending on each other (fully coupled) and show that there exists a diffusion process which approximates the slow motion in the L2 sense much better than the averaged motion prescribed by the averaging principle.