期刊
APPLIED MATHEMATICS LETTERS
卷 100, 期 -, 页码 -出版社
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.aml.2019.106006
关键词
Averaging principle; Fractional Brownian motion; Pathwise Riemann-Stieltjes integral; Ito stochastic calculus
资金
- NSF of China [11802216, 11702216]
- China Postdoctoral Science Foundation [2019M651334]
- JSPS, Japan KAKENHI [JP18F18314]
- Shaanxi Province Project for Distinguished Young Scholars, China
- Fundamental Research Funds for the Central Universities, China
In this paper, an averaging principle for multidimensional, time dependent, stochastic differential equations (SDEs) driven by fractional Brownian motion and standard Brownian motion was established. We combined the pathwise approach with the Ito stochastic calculus to handle both types of integrals involved and proved that the original SDEs can be approximated by averaged SDEs in the manner of mean square convergence. (C) 2019 Elsevier Ltd. All rights reserved.
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