Stochastic averaging for non-Lipschitz multi-valued stochastic differential equations driven by G-Brownian motion
Probability
2023-08-09 v2 Dynamical Systems
Abstract
In this paper, we prove the validity of an averaging principle for multi-valued stochastic differential equations (MSDEs) driven by G-Brownian motion with non-Lipschitz coefficients. The convergence theorem between the solution of the averaged MSDEs and original one was obtained in the sense of p-th moments and also in capicity. Finally, one example is presented to illustrate our theory.
Keywords
Cite
@article{arxiv.2008.07036,
title = {Stochastic averaging for non-Lipschitz multi-valued stochastic differential equations driven by G-Brownian motion},
author = {Min Han and Bin Pei},
journal= {arXiv preprint arXiv:2008.07036},
year = {2023}
}
Comments
19pages