Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients

doi:10.1016/j.jde.2019.09.047

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	Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients
	Liu, Wei 1; Roeckner, Michael 2,3; Sun, Xiaobin 1; Xie, Yingchao 1
	2020-03-05
发表期刊	JOURNAL OF DIFFERENTIAL EQUATIONS
ISSN	0022-0396
卷号	268 期号:6 页码:2910-2948
摘要	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 omega. 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. (C) 2019 Elsevier Inc. All rights reserved.
关键词	Averaging principle Local Lipschitz Time-dependent Strong convergence Stochastic differential equations
DOI	10.1016/j.jde.2019.09.047
收录类别	SCI
语种	英语
资助项目	NSFC[11571147] ; NSFC[11601196] ; NSFC[11771187] ; NSFC[11822106] ; NSFC[11831014] ; NSFC[11931004] ; Natural Science Foundation of Jiangsu Province[BK20160004] ; NSF of the Higher Education Institutions of Jiangsu Province[16KJB110006] ; QingLan Project ; PAPD Project of Jiangsu Higher Education Institutions ; DFG[CRC 1283]
WOS研究方向	Mathematics
WOS类目	Mathematics
WOS记录号	WOS:000505986500012
出版者	ACADEMIC PRESS INC ELSEVIER SCIENCE
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/50470
专题	中国科学院数学与系统科学研究院
通讯作者	Sun, Xiaobin
作者单位	1.Jiangsu Normal Univ, Sch Math & Stat, Xuzhou 221116, Jiangsu, Peoples R China 2.Univ Bielefeld, Fak Math, D-33501 Bielefeld, Germany 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Liu, Wei,Roeckner, Michael,Sun, Xiaobin,et al. Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients[J]. JOURNAL OF DIFFERENTIAL EQUATIONS,2020,268(6):2910-2948.
APA	Liu, Wei,Roeckner, Michael,Sun, Xiaobin,&Xie, Yingchao.(2020).Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients.JOURNAL OF DIFFERENTIAL EQUATIONS,268(6),2910-2948.
MLA	Liu, Wei,et al."Averaging principle for slow-fast stochastic differential equations with time dependent locally Lipschitz coefficients".JOURNAL OF DIFFERENTIAL EQUATIONS 268.6(2020):2910-2948.