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Your search keyword '"Liu, Jicheng"' showing total 1 results
Start Over Author "Liu, Jicheng" Topic averaging principle Topic lipschitz spaces Topic stochastic differential equations Journal journal of mathematical analysis & applications
1 results on '"Liu, Jicheng"'

1. Strong averaging principle for two-time-scale SDEs with non-Lipschitz coefficients.

Author

Xu, Jie, Liu, Jicheng, and Miao, Yu

Subjects
*AVERAGING principle, *LIPSCHITZ spaces, *STOCHASTIC differential equations, *EXISTENCE theorems, *UNIQUENESS (Mathematics)
Abstract

Abstract This paper deals with averaging principle for two-time-scale stochastic differential equations (SDEs) with non-Lipschitz coefficients, which extends the existing results: from Lipschitz to non-Lipschitz case. Under suitable conditions, the existence of an averaging equation eliminating the fast variable for coupled system is established, and as a result, the system can be reduced to a single SDEs with a modified coefficient which is also non-Lipschitz. Moreover, it is shown that the slow variable strongly converges to the solution of the corresponding averaging equation. [ABSTRACT FROM AUTHOR]

Published
2018
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