On the averaging principle for stochastic delay differential equations with jumps

Wei Mao, Surong You, Xiaoqian Wu, Xuerong Mao

Research output: Contribution to journalArticle

7 Citations (Scopus)
53 Downloads (Pure)

Abstract

In this paper, we investigate the averaging principle for stochastic delay differential equations (SDDEs) and SDDEs with pure jumps. By the Itô formula, the Taylor formula, and the Burkholder-Davis-Gundy inequality, we show that the solution of the averaged SDDEs converges to that of the standard SDDEs in the sense of pth moment and also in probability. Finally, two examples are provided to illustrate the theory.
Original languageEnglish
Article number70
Number of pages19
JournalAdvances in Difference Equations
Volume2015
DOIs
Publication statusPublished - 1 Mar 2015

Keywords

  • averaging principle
  • stochastic delay differential equations
  • poisson random measure

Fingerprint Dive into the research topics of 'On the averaging principle for stochastic delay differential equations with jumps'. Together they form a unique fingerprint.

Cite this