Mixed stochastic differential equations: Averaging principle result

Min Han, Yong Xu, Bin Pei

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18 引用 (Scopus)

摘要

It is now known that, under a weaker condition than the Lipschitz one, the existence and uniqueness result for solutions of stochastic differential equations driven simultaneously by a fractional Brownian motion with Hurst parameter H>1∕2 and a standard Brownian motion is obtained. Therefore, it is quite natural to ask whether or when the averaging principle result also holds. In this paper we study this problem using the tool of generalized Stieltjes integral and Bihari-type lemma.

源语言英语
文章编号106705
期刊Applied Mathematics Letters
112
DOI
出版状态已出版 - 2月 2021

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