An averaging principle for stochastic dynamical systems with Levy noise

The purpose of this paper is to establish an averaging principle for stochastic differential equations with non-Gaussian Levy noise. The solutions to stochastic systems with Levy noise can be approximated by solutions to averaged stochastic differential equations in the sense of both convergence in mean square and convergence in probability. The convergence order is also estimated in terms of noise intensity. Two examples are presented to demonstrate the applications of the averaging principle, and a numerical simulation is carried out to establish the good agreement. (C) 2011 Elsevier B.V. All rights reserved.