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Your search keyword '"Liu, Jicheng"' showing total 1 results
Start Over Author "Liu, Jicheng" Topic stochastic differential equations Publisher taylor & francis ltd
1 results on '"Liu, Jicheng"'

1. An Averaging Principle for Multivalued Stochastic Differential Equations.

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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