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Strong averaging principle for two-time-scale SDEs with non-Lipschitz coefficients.
- Source :
-
Journal of Mathematical Analysis & Applications . Dec2018, Vol. 468 Issue 1, p116-140. 25p. - Publication Year :
- 2018
-
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]
Details
- Language :
- English
- ISSN :
- 0022247X
- Volume :
- 468
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Journal of Mathematical Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 131633459
- Full Text :
- https://doi.org/10.1016/j.jmaa.2018.07.039