On the averaging principle for stochastic differential equations driven by \(G\)-Lévy process

DOI10.1016/j.spl.2023.109789zbMath1515.60172OpenAlexW4313680968WikidataQ117220538 ScholiaQ117220538MaRDI QIDQ6101734

Bingjun Wang, Mingxia Yuan, Zhi-Yan Yang

Publication date: 20 June 2023

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2023.109789

zbMATH Keywords

stochastic differential equationaveraging principle\(G\)-Lévy processnon-Lipschitz

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cites Work

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• On the averaging principle for SDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
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• ON THE AVERAGING PRINCIPLE FOR SYSTEMS OF STOCHASTIC DIFFERENTIAL EQUATIONS
• Strong Convergence Rate for Two-Time-Scale Jump-Diffusion Stochastic Differential Systems
• On Averaging Principles: An Asymptotic Expansion Approach
• Nonlinear Expectations and Stochastic Calculus under Uncertainty

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