Journal article 383 views
On a Class of Distribution Dependent Stochastic Differential Equations Driven by Time-Changed Brownian Motions
Guangjun Shen,
Tingting Zhang,
Jie Song,
Jiang-lun Wu
Applied Mathematics &; Optimization, Volume: 88, Issue: 2
Swansea University Author: Jiang-lun Wu
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DOI (Published version): 10.1007/s00245-023-10007-3
Abstract
In this paper, a class of distribution dependent stochastic differential equations driven by time-changed Brownian motion is studied. The existence and uniqueness theorem of strong solutions for the distribution dependent stochastic differential equations is established. Then, sufficient conditions...
Published in: | Applied Mathematics &; Optimization |
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ISSN: | 0095-4616 1432-0606 |
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Springer Science and Business Media LLC
2023
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URI: | https://cronfa.swan.ac.uk/Record/cronfa62689 |
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v2 62689 2023-02-19 On a Class of Distribution Dependent Stochastic Differential Equations Driven by Time-Changed Brownian Motions dbd67e30d59b0f32592b15b5705af885 Jiang-lun Wu Jiang-lun Wu true false 2023-02-19 FGSEN In this paper, a class of distribution dependent stochastic differential equations driven by time-changed Brownian motion is studied. The existence and uniqueness theorem of strong solutions for the distribution dependent stochastic differential equations is established. Then, sufficient conditions are provided to guarantee the solutions to be stable in several different senses in terms of Lyapunov function. Finally, we show that the solutions of the distribution dependent stochastic differential equations can be approximated by solutions of the associated averaged stochastic differential equations in mean square convergence. Journal Article Applied Mathematics &; Optimization 88 2 Springer Science and Business Media LLC 0095-4616 1432-0606 Distribution dependent stochastic differential equations;Time-changed Brownian motions; Stability; Averaging principle. 1 10 2023 2023-10-01 10.1007/s00245-023-10007-3 http://dx.doi.org/10.1007/s00245-023-10007-3 COLLEGE NANME Science and Engineering - Faculty COLLEGE CODE FGSEN Swansea University Other National Natural Science Foundation of China - 12071003 2023-06-05T16:41:52.4019364 2023-02-19T18:54:31.6148048 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Guangjun Shen 1 Tingting Zhang 2 Jie Song 3 Jiang-lun Wu 4 Under embargo Under embargo 2023-02-19T19:01:55.9792669 Output 353455 application/pdf Accepted Manuscript true 2024-05-31T00:00:00.0000000 true eng |
title |
On a Class of Distribution Dependent Stochastic Differential Equations Driven by Time-Changed Brownian Motions |
spellingShingle |
On a Class of Distribution Dependent Stochastic Differential Equations Driven by Time-Changed Brownian Motions Jiang-lun Wu |
title_short |
On a Class of Distribution Dependent Stochastic Differential Equations Driven by Time-Changed Brownian Motions |
title_full |
On a Class of Distribution Dependent Stochastic Differential Equations Driven by Time-Changed Brownian Motions |
title_fullStr |
On a Class of Distribution Dependent Stochastic Differential Equations Driven by Time-Changed Brownian Motions |
title_full_unstemmed |
On a Class of Distribution Dependent Stochastic Differential Equations Driven by Time-Changed Brownian Motions |
title_sort |
On a Class of Distribution Dependent Stochastic Differential Equations Driven by Time-Changed Brownian Motions |
author_id_str_mv |
dbd67e30d59b0f32592b15b5705af885 |
author_id_fullname_str_mv |
dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu |
author |
Jiang-lun Wu |
author2 |
Guangjun Shen Tingting Zhang Jie Song Jiang-lun Wu |
format |
Journal article |
container_title |
Applied Mathematics &; Optimization |
container_volume |
88 |
container_issue |
2 |
publishDate |
2023 |
institution |
Swansea University |
issn |
0095-4616 1432-0606 |
doi_str_mv |
10.1007/s00245-023-10007-3 |
publisher |
Springer Science and Business Media LLC |
college_str |
Faculty of Science and Engineering |
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Faculty of Science and Engineering |
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facultyofscienceandengineering |
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Faculty of Science and Engineering |
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School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics |
url |
http://dx.doi.org/10.1007/s00245-023-10007-3 |
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description |
In this paper, a class of distribution dependent stochastic differential equations driven by time-changed Brownian motion is studied. The existence and uniqueness theorem of strong solutions for the distribution dependent stochastic differential equations is established. Then, sufficient conditions are provided to guarantee the solutions to be stable in several different senses in terms of Lyapunov function. Finally, we show that the solutions of the distribution dependent stochastic differential equations can be approximated by solutions of the associated averaged stochastic differential equations in mean square convergence. |
published_date |
2023-10-01T16:41:50Z |
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1767877861172051968 |
score |
11.01628 |