Author: "Liu, Jicheng" / Language: english / Publisher: taylor & francis ltd / Topic: averaging principle and stochastic differential equations - Searchworks@Jio Institute Digital Library Search Results

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Start Over Author "Liu, Jicheng" Topic averaging principle Topic stochastic differential equations Language english Publisher taylor & francis ltd

Author: Xu, Jie and Liu, Jicheng
Subjects: *AVERAGING principle, *STOCHASTIC differential equations, *BROWNIAN motion, *MEAN square algorithms, *PROBABILITY theory, *LIPSCHITZ spaces
Abstract: The averaging principle for multivalued stochastic differential equations (MSDEs) driven by Brownian motion with Brownian noise is investigated. An averaged MSDEs for the original MSDEs is proposed, and their solutions are quantitatively compared. Under suitable assumptions, it is shown that the solution of the MSDEs converges to that of the original MSDEs in the sense of mean square and also in probability. Two examples are presented to illustrate the averaging principle. [ABSTRACT FROM PUBLISHER]
Published: 2014
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