Averaging principle for two-time-scale stochastic differential equations with correlated noise

DOI10.1515/MATH-2022-0538zbMATH Open1503.34108OpenAlexW4312620849MaRDI QIDQ2111861FDOQ2111861

Authors: Tao Jiang, Yancai Liu 

Publication date: 17 January 2023

Published in: Open Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/math-2022-0538

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zbMATH Keywords

stochastic differential equationcorrelated noiseaveraging principlemultiscale expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Averaging method for ordinary differential equations (34C29) Ordinary differential equations and systems with randomness (34F05)

Cites Work

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Cited In (4)

• An Averaging Principle for Fast Degrees of Freedom Exhibiting Long-Term Correlations
• Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations
• Stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients
• Two-time-scale stochastic partial differential equations driven by \(\alpha\)-stable noises: averaging principles

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