Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion

DOI10.1016/j.aml.2019.106006zbMath1433.60040OpenAlexW2969534976WikidataQ127373181 ScholiaQ127373181MaRDI QIDQ2338248

Yong Xu, Bin Pei, Jiang-Lun Wu

Publication date: 21 November 2019

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

Full work available at URL: https://cronfa.swan.ac.uk/Record/cronfa51701

zbMATH Keywords

fractional Brownian motionaveraging principleItô stochastic calculuspathwise Riemann-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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