Averaging principle for SDEs of neutral type driven by G-Brownian motion

被引：12

作者：

He, Xiaoying ^{[1
]}

Han, Song ^{[1
]}

Tao, Jin ^{[2
]}

机构：

[1] Guangxi Univ Sci & Technol, Sch Sci, Liuzhou 545006, Peoples R China

[2] Cent South Univ Technol, Sch Math & Stat, Changsha 410083, Hunan, Peoples R China

来源：

STOCHASTICS AND DYNAMICS | 2019年 / 19卷 / 01期

关键词：

Averaging principle; SDEs of neutral type; G-Brownian motion; L-p convergence; DIFFERENTIAL-EQUATIONS DRIVEN; SYSTEMS;

D O I：

10.1142/S0219493719500047

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we investigate the averaging principle for SDEs of neutral type driven by G-Brownian motion. The solutions of convergence in the sense of pth moment and convergence in capacity between standard form and the corresponding averaged form are considered. Two examples are presented to demonstrate the applications of the averaging principle.

引用

页数：22

共 15 条

[1] On the Existence and Uniqueness of Solutions to Stochastic Differential Equations Driven by G-Brownian Motion with Integral-Lipschitz Coefficients [J].

Bai, Xue-peng ;

Lin, Yi-qing .

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2014, 30 (03) :589-610

[2] AVERAGING PRINCIPLE AND SYSTEMS OF SINGULARLY PERTURBED STOCHASTIC DIFFERENTIAL-EQUATIONS [J].

GOLEC, J ;

LADDE, G .

JOURNAL OF MATHEMATICAL PHYSICS, 1990, 31 (05) :1116-1123

[3] On averaging principles: An asymptotic expansion approach [J].

Khasminskii, RZ ;

Yin, G .

SIAM JOURNAL ON MATHEMATICAL ANALYSIS, 2004, 35 (06) :1534-1560

[4]

Kryloff N, 1937, CR HEBD ACAD SCI, V204, P1454

[5] General Martingale Characterization of G-Brownian Motion [J].

Lin, Qian .

STOCHASTIC ANALYSIS AND APPLICATIONS, 2013, 31 (06) :1024-1048

[6] Some Properties of Stochastic Differential Equations Driven by the G-Brownian Motion [J].

Lin, Qian .

ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2013, 29 (05) :923-942

[7]

Mao W., 2015, ADV DIFFER EQU, V70, P1

[8]

PENG S, ARXIV10024546V1

[9]

Peng S, 2007, ABEL SYMP, V2, P541

[10] Stochastic functional differential equationswith infinite delay driven by G-Brownianmotion [J].

Ren, Yong ;

Bi, Qiang ;

Sakthivel, R. .

MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2013, 36 (13) :1746-1759

← 1 2 →