Stochastic averaging for the non-autonomous mixed stochastic differential equations with locally Lipschitz coefficients

DOI10.1016/j.spl.2021.109294zbMath1478.60181arXiv2009.05421OpenAlexW3214167948WikidataQ115341058 ScholiaQ115341058MaRDI QIDQ2070590

Yong Xu, Hongge Yue, Rui-Fang Wang

Publication date: 24 January 2022

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

Full work available at URL: https://arxiv.org/abs/2009.05421

zbMATH Keywords

fractional Brownian motionaveraging principlenon-autonomous systemItô stochastic integralgeneralized Riemann-Stieltjes integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (4)

Large deviations for a slow-fast system with jump-diffusion processes ⋮ Stochastic averaging for a completely integrable Hamiltonian system with fractional Brownian motion ⋮ Numerical study for a class of time fractional diffusion equations using operational matrices based on Hosoya polynomial ⋮ APPLICATION OF HOSOYA POLYNOMIAL TO SOLVE A CLASS OF TIME-FRACTIONAL DIFFUSION EQUATIONS

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