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An Averaging Principle for Stochastic Differential Delay Equations Driven by Time-Changed Lévy Noise
Guangjun Shen,
Wentao Xu,
Jiang-lun Wu 
Acta Mathematica Scientia, Volume: 42, Issue: 2, Pages: 540 - 550
Swansea University Author:
Jiang-lun Wu
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DOI (Published version): 10.1007/s10473-022-0208-7
Abstract
In this paper, we aim to derive an averaging principle for stochastic differential equations driven by time-changed L ́evy noise with variable delays. Under certain assump- tions, we show that the solutions of stochastic differential equations with time-changed L ́evy noise can be approximated by so...
| Published in: | Acta Mathematica Scientia |
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| ISSN: | 0252-9602 1572-9087 |
| Published: |
Springer Nature Switzerland AG.
Springer Science and Business Media LLC
2022
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa59180 |
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| Abstract: |
In this paper, we aim to derive an averaging principle for stochastic differential equations driven by time-changed L ́evy noise with variable delays. Under certain assump- tions, we show that the solutions of stochastic differential equations with time-changed L ́evy noise can be approximated by solutions of the associated averaged stochastic differential equations in mean square convergence and in convergence in probability, respectively. The convergence order is also estimated in terms of noise intensity. Finally, an example with numerical simulation is given to illustrate the theoretical result. |
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| Keywords: |
Averaging principle; stochastic differential equation; time-changed Levy noise; variable delays. |
| College: |
Faculty of Science and Engineering |
| Issue: |
2 |
| Start Page: |
540 |
| End Page: |
550 |