AN AVERAGING PRINCIPLE FOR STOCHASTIC DIFFERENTIAL EQUATIONS OF FRACTIONAL ORDER 0 < α < 1

This paper presents an averaging principle for fractional stochastic differential equations in R-n with fractional order 0 < alpha < 1. We obtain a time-averaged equation under suitable conditions, such that the solutions to original fractional equation can be approximated by solutions to simpler averaged equation. By mathematical manipulations, we show that the mild solution of two equations before and after averaging are equivalent in the sense of mean square, which means the classical Khasminskii approach for the integer order systems can be extended to fractional systems.