Averaging principles for SPDEs driven by fractional Brownian motions with random delays modulated by two-time-scale Markov switching processes

DOI10.1142/S0219493718500235zbMath1394.60036MaRDI QIDQ4584277

George Yin, Bin Pei, Yong Xu

Publication date: 29 August 2018

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionaveraging principlestochastic partial differential equationrandom delayMarkov switching processtwo-time scale approach

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (16)

Dynamics and response reshaping of nonlinear predator-prey system undergoing random abrupt disturbances ⋮ An averaging principle for stochastic evolution equations with jumps and random time delays ⋮ Strong convergence in the \(p\)th-mean of an averaging principle for two-time-scales SPDEs with jumps ⋮ Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching ⋮ Stochastic Averaging Principle for Mixed Stochastic Differential Equations ⋮ Stochastic averaging for a completely integrable Hamiltonian system with fractional Brownian motion ⋮ Averaging principle for non‐Lipschitz fractional stochastic evolution equations with random delays modulated by two‐time‐scale Markov switching processes ⋮ Strong convergence rate for slow-fast stochastic differential equations with Markovian switching ⋮ Averaging principles for nonautonomous two-time-scale stochastic reaction-diffusion equations with jump ⋮ Averaging principle for impulsive stochastic partial differential equations ⋮ Stochastic averaging principles for multi-valued stochastic differential equations driven by poisson point Processes ⋮ Convergence of \(p\)-th mean in an averaging principle for stochastic partial differential equations driven by fractional Brownian motion ⋮ Approximation properties for solutions to Itô–Doob stochastic fractional differential equations with non-Lipschitz coefficients ⋮ Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: averaging principle ⋮ Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion ⋮ Characterising stochastic motion in heterogeneous media driven by coloured non-Gaussian noise

Cites Work

• Unnamed Item
• Unnamed Item
• Stochastic averaging for slow-fast dynamical systems with fractional Brownian motion
• Lyapunov exponents of PDEs driven by fractional noise with Markovian switching
• Two-time-scales hyperbolic-parabolic equations driven by Poisson random measures: existence, uniqueness and averaging principles
• Continuous-time Markov chains and applications. A two-time-scale approach
• Stochastic averaging principle for dynamical systems with fractional Brownian motion
• Strong convergence rate in averaging principle for stochastic FitzHugh-Nagumo system with two time-scales
• Two-time-scale stochastic partial differential equations driven by \(\alpha\)-stable noises: averaging principles
• The existence and exponential behavior of solutions to stochastic delay evolution equations with a fractional Brownian motion
• An averaging principle for stochastic dynamical systems with Lévy noise
• Averaging principle for a class of stochastic reaction-diffusion equations
• Hybrid switching diffusions. Properties and applications
• Evolution equations driven by a fractional Brownian motion
• Stochastic evolution equations with fractional Brownian motion
• Differential equations driven by fractional Brownian motion
• Averaging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processes
• Limit behavior of two-time-scale diffusions revisited
• Moment exponential stability of random delay systems with two-time-scale Markovian switching
• Strong convergence in averaging principle for stochastic hyperbolic-parabolic equations with two time-scales
• A Khasminskii type averaging principle for stochastic reaction-diffusion equations
• Stochastic calculus for fractional Brownian motion and related processes.
• Numerical analysis for neutral SPDEs driven by α-stable processes
• Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion
• Random Perturbations of Dynamical Systems
• Fractional Brownian motion: theory and applications
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Hybrid filtering for linear systems with non-Gaussian disturbances
• Ergodicity and strong limit results for two-time-scale functional stochastic differential equations
• Identification of Systems With Regime Switching and Unmodeled Dynamics
• Approximation properties for solutions to non-Lipschitz stochastic differential equations with Lévy noise
• Stochastic Differential Equations with Markovian Switching
• Fractional Brownian Motions, Fractional Noises and Applications
• Asymptotic expansions of option price under regime-switching diffusions with a fast-varying switching process
• Stochastic calculus with respect to Gaussian processes

This page was built for publication: Averaging principles for SPDEs driven by fractional Brownian motions with random delays modulated by two-time-scale Markov switching processes