The averaging principle for stochastic differential equations with Caputo fractional derivative

被引：53

作者：

Xu, Wenjing ^{[1
]}

Xu, Wei ^{[1
]}

Zhang, Shuo ^{[1
]}

机构：

[1] Northwestern Polytech Univ, Sch Sci, Xian 710129, Shaanxi, Peoples R China

来源：

APPLIED MATHEMATICS LETTERS | 2019年 / 93卷

基金：

中国国家自然科学基金;

关键词：

Averaging principle; Caputo fractional derivative; Stochastic differential equations;

D O I：

10.1016/j.aml.2019.02.005

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper presents an averaging principle for Caputo fractional stochastic differential equations (FSDEs) driven by Brown motion. Under some assumptions, the solutions to FSDEs can be approximated by solutions to averaged stochastic systems in the sense of mean square. The analyses of solutions to systems before and after averaging, allow to extend the classical Khasminskii approach to Caputo fractional stochastic equations. (C) 2019 Elsevier Ltd. All rights reserved.

引用

页码：79 / 84

页数：6

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