Averaging method for neutral stochastic delay differential equations driven by fractional Brownian motion
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Publication:2189646
Summary: In this paper, we investigate the stochastic averaging method for neutral stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H\in(1/2,1)\). By using the linear operator theory and the pathwise approach, we show that the solutions of neutral stochastic delay differential equations converge to the solutions of the corresponding averaged stochastic delay differential equations. At last, an example is provided to illustrate the applications of the proposed results.
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Cited in
(10)- An averaging principle for stochastic differential delay equations with fractional Brownian motion
- Stochastic stabilization of Markovian jump neutral systems with fractional Brownian motion and quantized controller
- Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: averaging principle
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