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Stochastic Averaging Principle for Two-Time-Scale SDEs with Distribution-Dependent Coefficients Driven by Fractional Brownian Motion

Guangjun Shen, Jiayuan Yin, Jiang-lun Wu

Communications in Mathematics and Statistics

Swansea University Author: Jiang-lun Wu

  • Accepted Manuscript under embargo until: 13th October 2024

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DOI (Published version): 10.1007/s40304-023-00364-4

Abstract

In this paper, we derive an averaging principle for a fast-slow system of stochastic differential equations (SDEs) involving distribution dependent coefficients driven by both fractional Brownian motion (fBm) and standard Brownian motion (Bm). We first establish the existence and uniqueness of solut...

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Published in: Communications in Mathematics and Statistics
ISSN: 2194-6701 2194-671X
Published: Springer Science and Business Media LLC
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URI: https://cronfa.swan.ac.uk/Record/cronfa63504
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first_indexed 2023-05-19T08:12:47Z
last_indexed 2023-05-19T08:12:47Z
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spelling v2 63504 2023-05-19 Stochastic Averaging Principle for Two-Time-Scale SDEs with Distribution-Dependent Coefficients Driven by Fractional Brownian Motion dbd67e30d59b0f32592b15b5705af885 Jiang-lun Wu Jiang-lun Wu true false 2023-05-19 FGSEN In this paper, we derive an averaging principle for a fast-slow system of stochastic differential equations (SDEs) involving distribution dependent coefficients driven by both fractional Brownian motion (fBm) and standard Brownian motion (Bm). We first establish the existence and uniqueness of solutions of the fast-slow system and the corresponding averaging equation. Then, we show that the slow component strongly converges to the solution of the associated averaged equation. Journal Article Communications in Mathematics and Statistics Springer Science and Business Media LLC 2194-6701 2194-671X Averaging principle, Fast–slow systems, Fractional Brownian motion, Standard Brownian motion 0 0 0 0001-01-01 10.1007/s40304-023-00364-4 http://dx.doi.org/10.1007/s40304-023-00364-4 COLLEGE NANME Science and Engineering - Faculty COLLEGE CODE FGSEN Swansea University Other This research is supported by the National Natural Science Foundation of China (12071003). 2023-10-31T12:47:26.8881688 2023-05-19T09:00:57.5547267 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Guangjun Shen 1 Jiayuan Yin 2 Jiang-lun Wu 3 Under embargo Under embargo 2023-05-19T09:11:55.7641517 Output 338924 application/pdf Accepted Manuscript true 2024-10-13T00:00:00.0000000 false English
title Stochastic Averaging Principle for Two-Time-Scale SDEs with Distribution-Dependent Coefficients Driven by Fractional Brownian Motion
spellingShingle Stochastic Averaging Principle for Two-Time-Scale SDEs with Distribution-Dependent Coefficients Driven by Fractional Brownian Motion
Jiang-lun Wu
title_short Stochastic Averaging Principle for Two-Time-Scale SDEs with Distribution-Dependent Coefficients Driven by Fractional Brownian Motion
title_full Stochastic Averaging Principle for Two-Time-Scale SDEs with Distribution-Dependent Coefficients Driven by Fractional Brownian Motion
title_fullStr Stochastic Averaging Principle for Two-Time-Scale SDEs with Distribution-Dependent Coefficients Driven by Fractional Brownian Motion
title_full_unstemmed Stochastic Averaging Principle for Two-Time-Scale SDEs with Distribution-Dependent Coefficients Driven by Fractional Brownian Motion
title_sort Stochastic Averaging Principle for Two-Time-Scale SDEs with Distribution-Dependent Coefficients Driven by Fractional Brownian Motion
author_id_str_mv dbd67e30d59b0f32592b15b5705af885
author_id_fullname_str_mv dbd67e30d59b0f32592b15b5705af885_***_Jiang-lun Wu
author Jiang-lun Wu
author2 Guangjun Shen
Jiayuan Yin
Jiang-lun Wu
format Journal article
container_title Communications in Mathematics and Statistics
institution Swansea University
issn 2194-6701
2194-671X
doi_str_mv 10.1007/s40304-023-00364-4
publisher Springer Science and Business Media LLC
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str 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/s40304-023-00364-4
document_store_str 0
active_str 0
description In this paper, we derive an averaging principle for a fast-slow system of stochastic differential equations (SDEs) involving distribution dependent coefficients driven by both fractional Brownian motion (fBm) and standard Brownian motion (Bm). We first establish the existence and uniqueness of solutions of the fast-slow system and the corresponding averaging equation. Then, we show that the slow component strongly converges to the solution of the associated averaged equation.
published_date 0001-01-01T12:47:25Z
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score 11.012678

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