Approximation properties for solutions to non-Lipschitz stochastic differential equations with Lévy noise

DOI10.1002/MMA.3208zbMATH Open1345.60051OpenAlexW1989071785MaRDI QIDQ5266271FDOQ5266271

Authors: Yong Xu, Bin Pei, Yongge Li 

Publication date: 30 July 2015

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.3208

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zbMATH Keywords

stochastic differential equationsstochastic functional differential equationsapproximation theoremsnon-Lipschitz conditionsLévy noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Theoretical approximation of solutions to ordinary differential equations (34A45) Ordinary differential equations and systems with randomness (34F05) Stochastic functional-differential equations (34K50) Random integral equations (45R05) Stochastic integral equations (60H20)

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Cited In (40)

• Averaging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processes
• Stochastic averaging for two-time-scale stochastic partial differential equations with fractional Brownian motion
• Stochastic averaging for slow-fast dynamical systems with fractional Brownian motion
• Stochastic averaging for a class of two-time-scale systems of stochastic partial differential equations
• Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion
• Effective approximation of stochastic sine-Gordon equation with a fast oscillation
• Approximation of non-Lipschitz SDEs by Picard iterations
• An averaging principle for neutral stochastic fractional order differential equations with variable delays driven by Lévy noise
• Strong convergence in the \(p\)th-mean of an averaging principle for two-time-scales SPDEs with jumps
• Mild solutions of local non-Lipschitz stochastic evolution equations with jumps
• The existence and averaging principle for stochastic fractional differential equations with impulses
• Averaging principle for stochastic quasi‐geostrophic flow equation with a fast oscillation
• On the averaging principle for SDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
• The probability of events for stochastic parabolic equations
• The averaging principle of Hilfer fractional stochastic pantograph equations with non-Lipschitz conditions
• Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by Lévy noise
• Large deviation principle for stochastic Boussinesq equations driven by Lévy noise
• Weak order in averaging principle for stochastic wave equation with a fast oscillation
• Periodic averaging method for impulsive stochastic dynamical systems driven by fractional Brownian motion under non-Lipschitz condition
• \(G\)-neutral stochastic differential equations with variable delay and non-Lipschitz coefficients
• Random attractors for stochastic differential equations driven by two-sided Lévy processes
• Stochastic averaging principles for multi-valued stochastic differential equations driven by Poisson point processes
• Two-time-scales hyperbolic-parabolic equations driven by Poisson random measures: existence, uniqueness and averaging principles
• Mild solutions of local non-Lipschitz neutral stochastic functional evolution equations driven by jumps modulated by Markovian switching
• The averaging method for doubly perturbed distribution dependent SDEs
• An averaging principle for neutral stochastic functional differential equations driven by Poisson random measure
• Periodic averaging theorems for neutral stochastic functional differential equations involving delayed impulses
• Averaging principles for two-time-scale neutral stochastic delay partial differential equations driven by fractional Brownian motions
• An averaging principle for stochastic fractional differential equations with time-delays
• On smooth approximation of Lévy processes in Skorokhod space
• Averaging principles for SPDEs driven by fractional Brownian motions with random delays modulated by two-time-scale Markov switching processes
• The averaging principle of Hilfer fractional stochastic delay differential equations with Poisson jumps
• Averaging principles for mixed fast-slow systems driven by fractional Brownian motion
• Mixed stochastic differential equations: averaging principle result
• Asymptotics and high dimensional approximations for nonlinear pseudodifferential equations involving Lévy generators
• Impulsive stochastic Volterra integral equations driven by Lévy noise
• Strong convergence of averaging principle for the non‐autonomous slow‐fast systems of SPDEs with polynomial growth
• Weak order in averaging principle for stochastic differential equations with jumps
• Fuzzy stochastic differential equations of decreasing fuzziness: Non-Lipschitz coefficients
• Approximation properties for solutions to Itô-Doob stochastic fractional differential equations with non-Lipschitz coefficients

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