Strong averaging principle for two-time-scale SDEs with non-Lipschitz coefficients

DOI10.1016/j.jmaa.2018.07.039zbMath1430.60052OpenAlexW2884175454MaRDI QIDQ2413987

Jie Xu, Jicheng Liu, Yu Miao

Publication date: 17 September 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.07.039

zbMATH Keywords

existenceuniquenessnon-Lipschitz coefficientsstochastic averaging principlefast-slow SDEs with jumps\(L^2\)-strong convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• Strong convergence rate of principle of averaging for jump-diffusion processes
• Double averaging principle for periodically forced stochastic slow-fast systems
• Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations
• Homeomorphic flows for multi-dimensional SDEs with non-Lipschitz coefficients
• Strong Convergence Rate for Two-Time-Scale Jump-Diffusion Stochastic Differential Systems
• Analysis of multiscale methods for stochastic differential equations
• Stochastic differential equations. An introduction with applications.

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