Preprint No. MPIMD/15-22

Title: Singular Perturbation Approximation for Linear Systems with Levy Noise

Author(s): Martin Redmann, Peter Benner


Date: 2015-12-17


To solve a stochastic linear evolution equation numerically, finite dimensional approximations are commonly used. For a good approximation, one might end up with a sequence of ordinary stochastic linear equations of high order. To reduce the high dimension for practical computations, we consider the singular perturbation approximation as a model order reduction technique in this paper. This approach is well-known from deterministic control theory and here we generalize it for controlled linear systems with Levy noise. Additionally, we discuss properties of the reduced order model, provide an error bound, and give some examples to demonstrate the quality of this model order reduction technique.


author = {Martin Redmann and Peter Benner},
title = {Singular Perturbation Approximation for Linear Systems with Levy Noise},
number = {MPIMD/15-22},
month = dec,
year = 2015,
institution = {Max Planck Institute Magdeburg},
type = {Preprint},
note = {Available from \url{}},

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