An averaging principle for fractional stochastic differential equations with Lévy noise

This paper is devoted to the study of an averaging principle for fractional stochastic differential equations in R n with Lévy motion, using an integral transform method. We obtain a time-averaged effective equation under suitable assumptions. Furthermore, we show that the solutions of the averaged...

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Bibliographic Details
Published in:Chaos (Woodbury, N.Y.) N.Y.), 2020-08, Vol.30 (8), p.083126-083126
Main Authors: Xu, Wenjing, Duan, Jinqiao, Xu, Wei
Format: Article
Language:English
Subjects:
Differential equations
Integral transforms
Mathematical analysis
System effectiveness
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Summary:This paper is devoted to the study of an averaging principle for fractional stochastic differential equations in R n with Lévy motion, using an integral transform method. We obtain a time-averaged effective equation under suitable assumptions. Furthermore, we show that the solutions of the averaged equation approach the solutions of the original equation. Our results provide a better understanding for effective approximation of fractional dynamical systems with non-Gaussian Lévy noise.
ISSN:1054-1500
1089-7682
DOI:10.1063/5.0010551