Averaging principle for fractional stochastic differential equations with Lp convergence

Zhaoyang Wang, Ping Lin (Lead / Corresponding author)

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)
98 Downloads (Pure)

Abstract

In this paper, we prove the averaging principle for fractional stochastic differential equations (FSDEs) in the sense of Lp (pth moment) with inequality techniques. The solution of the averaged FSDEs converges to that of the standard FSDEs in the sense of Lp, which is a generalization of the existing result (p=2) of the averaging principle for FSDEs. A numerical example is constructed to illustrate the correctness of the theoretical result. In addition, we correct the mistakes in the proof of Xu et al. (2019. 2020) and Luo et al. (2021).

Original languageEnglish
Article number108024
Number of pages7
JournalApplied Mathematics Letters
Volume130
Early online date7 Mar 2022
DOIs
Publication statusPublished - Aug 2022

Keywords

  • Averaging principle
  • Fractional stochastic differential equations
  • L convergence

ASJC Scopus subject areas

  • Applied Mathematics

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