Articlediamond2019

The averaging method for multivalued SDEs with jumps and non-Lipschitz coefficients

Wei Mao · Liangjian Hu · Surong You · Xuerong Mao

15 citations0/0 files storedDiscrete and Continuous Dynamical Systems - B

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

Abstract

In this paper, we study the averaging principle for multivalued SDEs with jumps and non-Lipschitz coefficients. By the Bihari's inequality and the properties of the concave function, we prove that the solution of averaged multivalued SDE with jumps converges to that of the standard one in the sense of mean square and also in probability. Finally, two examples are presented to illustrate our theory.

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2005Stochastic Integration and Differential Equations 2005Stochastic Integration and Differential Equations. Second Edition.1998Problàme de Skorohod multivoque 2016Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion 2018Stochastic averaging principles for multi-valued stochastic differential equations driven by poisson point Processes

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