Averaging principle for stochastic differential equations with monotone condition

Zhongkai Guo; Yong Xu; Weifeng Wang; Junhao Hu

doi:10.1016/j.aml.2021.107705

Averaging principle for stochastic differential equations with monotone condition

Zhongkai Guo, Yong Xu, Weifeng Wang, Junhao Hu

School of Mathematics and Statistics

South-Central University for Nationalities

Research output: Contribution to journal › Article › peer-review

10 Scopus citations

Abstract

In this paper, we consider the averaging principle for a class of stochastic differential equations (SDEs) with the nonlinear terms only satisfying the local Lipschitz and monotone conditions. Compared with the classical Lipschitz and linear growth conditions, conditions given in this paper are relatively weak, so the conclusions obtained in this paper are suitable for a wider class of SDEs.

Original language	English
Article number	107705
Journal	Applied Mathematics Letters
Volume	125
DOIs	https://doi.org/10.1016/j.aml.2021.107705
State	Published - Mar 2022

Keywords

Averaging principle
Local Lipschitz
Monotonicity conditions
Stochastic differential equations

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10.1016/j.aml.2021.107705

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title = "Averaging principle for stochastic differential equations with monotone condition",

abstract = "In this paper, we consider the averaging principle for a class of stochastic differential equations (SDEs) with the nonlinear terms only satisfying the local Lipschitz and monotone conditions. Compared with the classical Lipschitz and linear growth conditions, conditions given in this paper are relatively weak, so the conclusions obtained in this paper are suitable for a wider class of SDEs.",

keywords = "Averaging principle, Local Lipschitz, Monotonicity conditions, Stochastic differential equations",

author = "Zhongkai Guo and Yong Xu and Weifeng Wang and Junhao Hu",

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AU - Guo, Zhongkai

AU - Xu, Yong

AU - Wang, Weifeng

AU - Hu, Junhao

PY - 2022/3

Y1 - 2022/3

N2 - In this paper, we consider the averaging principle for a class of stochastic differential equations (SDEs) with the nonlinear terms only satisfying the local Lipschitz and monotone conditions. Compared with the classical Lipschitz and linear growth conditions, conditions given in this paper are relatively weak, so the conclusions obtained in this paper are suitable for a wider class of SDEs.

AB - In this paper, we consider the averaging principle for a class of stochastic differential equations (SDEs) with the nonlinear terms only satisfying the local Lipschitz and monotone conditions. Compared with the classical Lipschitz and linear growth conditions, conditions given in this paper are relatively weak, so the conclusions obtained in this paper are suitable for a wider class of SDEs.

KW - Averaging principle

KW - Local Lipschitz

KW - Monotonicity conditions

KW - Stochastic differential equations

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DO - 10.1016/j.aml.2021.107705

M3 - 文章

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SN - 0893-9659

VL - 125

JO - Applied Mathematics Letters

JF - Applied Mathematics Letters

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ER -

Averaging principle for stochastic differential equations with monotone condition

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Keywords

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