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Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients.
- Source :
-
Journal of Differential Equations . Mar2020, Vol. 268 Issue 6, p2910-2948. 39p. - Publication Year :
- 2020
-
Abstract
- This paper is devoted to studying the averaging principle for stochastic differential equations with slow and fast time-scales, where the drift coefficients satisfy local Lipschitz conditions with respect to the slow and fast variables, and the coefficients in the slow equation depend on time t and ω. Making use of the techniques of time discretization and truncation, we prove that the slow component strongly converges to the solution of the corresponding averaged equation. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00220396
- Volume :
- 268
- Issue :
- 6
- Database :
- Academic Search Index
- Journal :
- Journal of Differential Equations
- Publication Type :
- Academic Journal
- Accession number :
- 141080299
- Full Text :
- https://doi.org/10.1016/j.jde.2019.09.047