Stochastic averaging principle for dynamical systems with fractional Brownian motion
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Publication:478249
DOI10.3934/DCDSB.2014.19.1197zbMATH Open1314.60122arXiv1301.4788OpenAlexW2964043760MaRDI QIDQ478249FDOQ478249
Publication date: 3 December 2014
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Abstract: Stochastic averaging for a class of stochastic differential equations (SDEs) with fractional Brownian motion, of the Hurst parameter H in the interval (1/2, 1), is investigated. An averaged SDE for the original SDE is proposed, and their solutions are quantitatively compared. It is shown that the solution of the averaged SDE converges to that of the original SDE in the sense of mean square and also in probability. It is further demonstrated that a similar averaging principle holds for SDEs under stochastic integral of pathwise backward and forward types. Two examples are presented and numerical simulations are carried out to illustrate the averaging principle.
Full work available at URL: https://arxiv.org/abs/1301.4788
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fractional Brownian motionstochastic differential equationscorrelated noiseaveraging principlestochastic integrals
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Stochastic integrals (60H05) Stochastic systems in control theory (general) (93E03)
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