Stochastic averaging principle for dynamical systems with fractional Brownian motion

DOI10.3934/dcdsb.2014.19.1197zbMath1314.60122arXiv1301.4788MaRDI QIDQ478249

Yong-Cai Geng, Sumit K. Garg

Publication date: 3 December 2014

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.4788

zbMATH Keywords

fractional Brownian motion; stochastic differential equations; correlated noise; averaging principle; stochastic integrals

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

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

34F05: Ordinary differential equations and systems with randomness

93E03: Stochastic systems in control theory (general)

60H05: Stochastic integrals

37H10: Generation, random and stochastic difference and differential equations