Averaging principle for two-time-scale stochastic differential equations with correlated noise

DOI10.1515/MATH-2022-0538zbMath1503.34108OpenAlexW4312620849MaRDI QIDQ2111861

Tao Jiang, Yancai Liu

Publication date: 17 January 2023

Published in: Open Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/math-2022-0538

zbMATH Keywords

stochastic differential equationcorrelated noiseaveraging principlemultiscale expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Averaging method for ordinary differential equations (34C29) Ordinary differential equations and systems with randomness (34F05)

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