Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion

doi:10.1016/j.aml.2019.106006

科研成果详情

发表状态	已发表Published
题名	Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion
作者	Pei, Bin 1,2; Xu, Yong 3; Wu, Jiang Lun4
发表日期	2020-02-01
发表期刊	Applied Mathematics Letters
ISSN/eISSN	0893-9659
卷号	100
摘要	In this paper, an averaging principle for multidimensional, time dependent, stochastic differential equations (SDEs) driven by fractional Brownian motion and standard Brownian motion was established. We combined the pathwise approach with the Itô stochastic calculus to handle both types of integrals involved and proved that the original SDEs can be approximated by averaged SDEs in the manner of mean square convergence.
关键词	Averaging principle Fractional Brownian motion Itô stochastic calculus Pathwise Riemann–Stieltjes integral
DOI	10.1016/j.aml.2019.106006
URL	查看来源
收录类别	SCIE
语种	英语English
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000494048300003
Scopus入藏号	2-s2.0-85071098598
引用统计	被引频次：78[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/10496
专题	个人在本单位外知识产出
通讯作者	Xu, Yong
作者单位	1.School of Mathematical Sciences,Fudan University,Shanghai,200433,China 2.Graduate School of Mathematics,Kyushu University,Fukuoka,819-0395,Japan 3.Department of Applied Mathematics,Northwestern Polytechnical University,Xi'an,710072,China 4.Department of Mathematics,Swansea University,Swansea,SA1 8EN,United Kingdom
推荐引用方式 GB/T 7714	Pei, Bin,Xu, Yong,Wu, Jiang Lun. Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion[J]. Applied Mathematics Letters, 2020, 100.
APA	Pei, Bin, Xu, Yong, & Wu, Jiang Lun. (2020). Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion. Applied Mathematics Letters, 100.
MLA	Pei, Bin,et al."Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion". Applied Mathematics Letters 100(2020).