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On Lp-strong convergence of an averaging principle for non-Lipschitz slow-fast systems with Lévy noise
Applied Mathematics Letters, Volume: 115, Start page: 106973
Swansea University Author: Jiang-lun Wu
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DOI (Published version): 10.1016/j.aml.2020.106973
Abstract
We study L^p-strong convergence for coupled stochastic differential equations (SDEs) driven by Lévy noise with non-Lipschitz coefficients. Utilizing Khasminkii’s time discretization technique, the Kunita’s first inequality and Bihari’s inequality, we show that the slow solution processes converge st...
Published in: | Applied Mathematics Letters |
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ISSN: | 0893-9659 |
Published: |
Elsevier BV
2021
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Online Access: |
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URI: | https://cronfa.swan.ac.uk/Record/cronfa55932 |
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Abstract: |
We study L^p-strong convergence for coupled stochastic differential equations (SDEs) driven by Lévy noise with non-Lipschitz coefficients. Utilizing Khasminkii’s time discretization technique, the Kunita’s first inequality and Bihari’s inequality, we show that the slow solution processes converge strongly in L^p to the solution of the corresponding averaged equation. |
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Keywords: |
Slow-fast systems; Averaging principle; non-Lipschitz coefficients; Levy noise. |
College: |
Faculty of Science and Engineering |
Start Page: |
106973 |