Stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients

In this paper, we shall prove a stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients.

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Bibliographic Details
Published in:Stochastics (Abingdon, Eng. : 2005) Eng. : 2005), 2021-07, Vol.93 (5), p.715-741
Main Authors: Xu, Jie, Liu, Jicheng
Format: Article
Language:English
Subjects:
Existence and uniqueness
fast-slow SDEs with jumps
non-Lipschitz coefficients
stochastic averaging principle
strong convergence
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Summary:In this paper, we shall prove a stochastic averaging principle for two-time-scale jump-diffusion SDEs under the non-Lipschitz coefficients.
ISSN:1744-2508
1744-2516
DOI:10.1080/17442508.2020.1784897