An averaging principle for stochastic dynamical systems with Lévy noise

Yong Xu, Jinqiao Duan, Wei Xu

科研成果: 期刊稿件文章同行评审

167 引用 (Scopus)

摘要

The purpose of this paper is to establish an averaging principle for stochastic differential equations with non-Gaussian Lévy noise. The solutions to stochastic systems with Lévy noise can be approximated by solutions to averaged stochastic differential equations in the sense of both convergence in mean square and convergence in probability. The convergence order is also estimated in terms of noise intensity. Two examples are presented to demonstrate the applications of the averaging principle, and a numerical simulation is carried out to establish the good agreement.

源语言英语
页(从-至)1395-1401
页数7
期刊Physica D: Nonlinear Phenomena
240
17
DOI
出版状态已出版 - 15 8月 2011

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