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On Lp-strong convergence of an averaging principle for non-Lipschitz slow-fast systems with Lévy noise

Yong Xu, Hongge Yue, Jiang-lun Wu Orcid Logo

Applied Mathematics Letters, Volume: 115, Start page: 106973

Swansea University Author: Jiang-lun Wu Orcid Logo

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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 st...

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Published in: Applied Mathematics Letters
ISSN: 0893-9659
Published: Elsevier BV 2021
Online Access: Check full text

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.
Keywords: Slow-fast systems; Averaging principle; non-Lipschitz coefficients; Levy noise.
College: Faculty of Science and Engineering
Start Page: 106973