Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8959529 | Journal of Mathematical Analysis and Applications | 2018 | 25 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Jie Xu, Jicheng Liu, Yu Miao,