An averaging principle for stochastic dynamical systems with Lévy noise

DOI10.1016/j.physd.2011.06.001zbMath1236.60060OpenAlexW2091015478MaRDI QIDQ720704

Yong Xu, Wei Xu, Jin-qiao Duan

Publication date: 11 October 2011

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physd.2011.06.001

zbMATH Keywords

averaging principlePoisson noiseconvergence to the averaged systemstochastic differential equation with non-Gaussian Lévy noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• On the theory of optimal control. Sufficient coordinates
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