An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian Motion
An averaging principle for a class of stochastic differential delay equations (SDDEs) driven by fractional Brownian motion (fBm) with Hurst parameter in (1/2,1) is considered, where stochastic integration is convolved as the path integrals. The solutions to the original SDDEs can be approximated by...
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/479195 |
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| author | Yong Xu Bin Pei Yongge Li |
| author_facet | Yong Xu Bin Pei Yongge Li |
| author_sort | Yong Xu |
| collection | DOAJ |
| description | An averaging principle for a class of stochastic differential delay equations (SDDEs) driven by fractional Brownian motion (fBm) with Hurst parameter in (1/2,1) 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. |
| format | Article |
| id | doaj-art-384c4c27f8704fafa3b80970395abee2 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-384c4c27f8704fafa3b80970395abee22025-02-03T01:11:47ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/479195479195An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian MotionYong Xu0Bin Pei1Yongge Li2Department of Applied Mathematics, Northwestern Polytechnical University, Xi’an 710072, ChinaDepartment of Applied Mathematics, Northwestern Polytechnical University, Xi’an 710072, ChinaDepartment of Applied Mathematics, Northwestern Polytechnical University, Xi’an 710072, ChinaAn averaging principle for a class of stochastic differential delay equations (SDDEs) driven by fractional Brownian motion (fBm) with Hurst parameter in (1/2,1) 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.http://dx.doi.org/10.1155/2014/479195 |
| spellingShingle | Yong Xu Bin Pei Yongge Li An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian Motion Abstract and Applied Analysis |
| title | An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian Motion |
| title_full | An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian Motion |
| title_fullStr | An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian Motion |
| title_full_unstemmed | An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian Motion |
| title_short | An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian Motion |
| title_sort | averaging principle for stochastic differential delay equations with fractional brownian motion |
| url | http://dx.doi.org/10.1155/2014/479195 |
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