An averaging principle for fractional stochastic differential equations with Lévy noise

Wenjing Xu, Jinqiao Duan, Wei Xu

Research output: Contribution to journalArticlepeer-review

28 Scopus citations

Abstract

This paper is devoted to the study of an averaging principle for fractional stochastic differential equations in R n with Lévy motion, using an integral transform method. We obtain a time-averaged effective equation under suitable assumptions. Furthermore, we show that the solutions of the averaged equation approach the solutions of the original equation. Our results provide a better understanding for effective approximation of fractional dynamical systems with non-Gaussian Lévy noise.

Original languageEnglish
Article number0010551
JournalChaos
Volume30
Issue number8
DOIs
StatePublished - 1 Aug 2020

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