An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian Motion
An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian Motion
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DOI：
10.1155/2014/479195
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发表时间：
2014-01
影响因子：
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通讯作者：
Yong Xu;B. Pei;Yongge Li
中科院分区：
文献类型：
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作者：
Yong Xu;B. Pei;Yongge Li
考虑了由分数布朗运动 (fBm) 驱动的一类随机微分时滞方程 (SDDE) 的平均原理，其中 Hurst 参数为 ，其中随机积分作为路径积分进行卷积。原始 SDDE 的解可以分别在均方收敛和概率收敛的意义上通过相应平均 SDDE 的解来近似。通过两个例子来说明所提出的平均原理。
An averaging principle for a class of stochastic differential delay equations (SDDEs) driven by fractional Brownian motion (fBm) with Hurst parameter in is considered, where stochastic integration is convolved as the path integrals. The solutions to the original SDDEs can be approximated by solutions to the corresponding averaged SDDEs in the sense of both convergence in mean square and in probability, respectively. Two examples are carried out to illustrate the proposed averaging principle.