Stochastic averaging principle for dynamical systems with fractional Brownian motion
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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)
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.
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Cited in
(36)- Approximation properties for solutions to Itô-Doob stochastic fractional differential equations with non-Lipschitz coefficients
- Strong convergence in averaging principle for stochastic hyperbolic-parabolic equations with two time-scales
- Averaging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processes
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