Mixed stochastic differential equations: averaging principle result

DOI10.1016/j.aml.2020.106705zbMath1468.60070OpenAlexW3065451991WikidataQ115360762 ScholiaQ115360762MaRDI QIDQ2213690

Min Han, Bin Pei, Yong Xu

Publication date: 3 December 2020

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2020.106705

zbMATH Keywords

fractional Brownian motionnon-Lipschitz conditionaveraging principlesgeneralized Stieltjes integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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Cites Work

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• Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Approximation properties for solutions to non-Lipschitz stochastic differential equations with Lévy noise

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