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Stochastic averaging for the non-autonomous mixed stochastic differential equations with locally Lipschitz coefficients

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  • Wang, Ruifang
  • Xu, Yong
  • Yue, Hongge

Abstract

This paper investigates a non-autonomous slow–fast system, which is generalized by stochastic differential equations with locally Lipschitz coefficients, subjected to standard Brownian motion and fractional Brownian motion with Hurst parameter 1/2

Suggested Citation

  • Wang, Ruifang & Xu, Yong & Yue, Hongge, 2022. "Stochastic averaging for the non-autonomous mixed stochastic differential equations with locally Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 182(C).
    • Handle: RePEc:eee:stapro:v:182:y:2022:i:c:s016771522100256x
    DOI: 10.1016/j.spl.2021.109294
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    References listed on IDEAS

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    1. Hu, Yaozhong & Nualart, David & Song, Xiaoming, 2008. "A singular stochastic differential equation driven by fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2075-2085, October.
    2. Yong Xu & Ruifang Wang, 2020. "Averaging Principles for Nonautonomous Two-Time-Scale Stochastic Reaction-Diffusion Equations with Jump," Complexity, Hindawi, vol. 2020, pages 1-22, September.
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