A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion
From MaRDI portal
Publication:6166345
DOI10.1007/S00245-023-10008-2zbMATH Open1515.60222MaRDI QIDQ6166345FDOQ6166345
Authors: Jie Xu, Qiqi Lian, Jiang-Lun Wu 
Publication date: 6 July 2023
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Recommendations
- Averaging principle for BSDEs driven by two mutually independent fractional Brownian motions
- Stochastic averaging for two-time-scale stochastic partial differential equations with fractional Brownian motion
- Convergence of \(p\)-th mean in an averaging principle for stochastic partial differential equations driven by fractional Brownian motion
- An averaging principle for stochastic differential delay equations with fractional Brownian motion
- Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: averaging principle
fractional Brownian motionconvergence ratestochastic averaging principlefast-slow forward-backward stochastic differential equations
Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)
Cites Work
- The Malliavin Calculus and Related Topics
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic differential equations. An introduction with applications.
- Introduction to Stochastic Search and Optimization
- Stochastic calculus for fractional Brownian motion and related processes.
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Strong Convergence Rate for Two-Time-Scale Jump-Diffusion Stochastic Differential Systems
- Malliavin Calculus with Applications to Stochastic Partial Differential Equations
- Effective dynamics of stochastic partial differential equations
- Title not available (Why is that?)
- Strong convergence of principle of averaging for multiscale stochastic dynamical systems
- Integral transformations and anticipative calculus for fractional Brownian motions
- An averaging principle for a completely integrable stochastic Hamiltonian system
- STOCHASTIC VERSIONS OF ANOSOV'S AND NEISTADT'S THEOREMS ON AVERAGING
- Fractional backward stochastic differential equations and fractional backward variational inequalities
- Backward stochastic differential equation driven by fractional Brownian motion
- Stochastic Averaging in Continuous Time and Its Applications to Extremum Seeking
- Strong and weak orders in averaging for SPDEs
- On Averaging Principles: An Asymptotic Expansion Approach
- Analysis of multiscale methods for stochastic differential equations
- Double averaging principle for periodically forced stochastic slow-fast systems
- Strong convergence in averaging principle for stochastic hyperbolic-parabolic equations with two time-scales
- Computational singular perturbation analysis of stochastic chemical systems with stiffness
- Continuous-time stochastic averaging on the infinite interval for locally Lipschitz systems
- An averaging principle for two-time-scale stochastic functional differential equations
- Two-time-scale stochastic partial differential equations driven by \(\alpha\)-stable noises: averaging principles
- Anticipative backward stochastic differential equations driven by fractional Brownian motion
- Homogenization of semilinear PDEs with discontinuous averaged coefficients
- Slow-fast systems with fractional environment and dynamics
- Averaging of backward stochastic differential equations, with application to semi-linear pde's
- Averaging for BSDEs with null recurrent fast component. Application to homogenization in a non periodic media
- Averaging of Backward Stochastic Differential Equations and Homogenization of Partial Differential Equations with Periodic Coefficients
- Stochastic Averaging in Discrete Time and its Applications to Extremum Seeking
- Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients
- Strong convergence rate of principle of averaging for jump-diffusion processes
- Averaging dynamics driven by fractional Brownian motion
- Averaging principle for fast-slow system driven by mixed fractional Brownian rough path
- Diffusion approximation for fully coupled stochastic differential equations
- Jump type stochastic differential equations with non-Lipschitz coefficients: non-confluence, Feller and strong Feller properties, and exponential ergodicity
- Multiscale Integration Schemes for Jump-Diffusion Systems
- Stochastic averaging analysis of a steepest-descent-type adaptive time- delay estimation algorithm
- Averaging principle for slow-fast stochastic partial differential equations with Hölder continuous coefficients
- Averaging principle and normal deviations for multiscale stochastic systems
- Orders of convergence in the averaging principle for SPDEs: the case of a stochastically forced slow component
- Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
- Strong convergence order for slow-fast McKean-Vlasov stochastic differential equations
- Fast-slow-coupled stochastic functional differential equations
- Strong averaging principle for two-time-scale stochastic McKean-Vlasov equations
- The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model
Cited In (3)
This page was built for publication: A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6166345)
