Year: 2022
Author: Yuanyuan Jing, Yarong Peng, Zhi Li
Journal of Partial Differential Equations, Vol. 35 (2022), Iss. 3 : pp. 223–239
Abstract
In this paper, an averaging principle for the solutions to mixed stochastic differential equation involving standard Brownian motion, a fractional Brownian motion $B^{H}$ with the Hurst parameter $H>\frac{1}{2}$ and a discontinuous drift was estimated. Under some proper assumptions, we proved that the solutions of the simplified systems can be approximated to that of the original systems in the sense of mean square by the method of the pathwise approach and the Itô stochastic calculus.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jpde.v35.n3.3
Journal of Partial Differential Equations, Vol. 35 (2022), Iss. 3 : pp. 223–239
Published online: 2022-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 17
Keywords: Averaging principle mixed stochastic differential equation discontinuous drift fractional Brownian motion.