An averaging principle for stochastic differential delay equations with fractional brownian motion

Yong Xu, Bin Pei, Yongge Li

科研成果: 期刊稿件文章同行评审

21 引用 (Scopus)

摘要

An averaging principle for a class of stochastic differential delay equations (SDDEs) driven by fractional Brownian motion (fBm) with Hurst parameter in (1 / 2, 1) is considered, where stochastic integration is convolved as the path integrals. The solutions to the original SDDEs can be approximated by solutions to the corresponding averaged SDDEs in the sense of both convergence in mean square and in probability, respectively. Two examples are carried out to illustrate the proposed averaging principle.

源语言英语
文章编号479195
期刊Abstract and Applied Analysis
2014
DOI
出版状态已出版 - 2014

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