Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion

Bin Pei, Yong Xu, Jiang Lun Wu

Research output: Contribution to journalArticlepeer-review

81 Scopus citations

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 languageEnglish
Article number106006
JournalApplied Mathematics Letters
Volume100
DOIs
StatePublished - Feb 2020

Keywords

  • Averaging principle
  • Fractional Brownian motion
  • Itô stochastic calculus
  • Pathwise Riemann–Stieltjes integral

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