Abstract
In this paper, an averaging principle for multidimensional, time dependent, stochastic differential equations (SDEs) driven by fractional Brownian motion and standard Brownian motion was established. We combined the pathwise approach with the Itô stochastic calculus to handle both types of integrals involved and proved that the original SDEs can be approximated by averaged SDEs in the manner of mean square convergence.
Original language | English |
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Article number | 106006 |
Journal | Applied Mathematics Letters |
Volume | 100 |
DOIs | |
State | Published - Feb 2020 |
Keywords
- Averaging principle
- Fractional Brownian motion
- Itô stochastic calculus
- Pathwise Riemann–Stieltjes integral