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

Wei Mao; Liangjian Hu; Surong You; Xuerong Mao

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

Wei Mao, Liangjian Hu, Surong You, Xuerong Mao

Mathematics And Statistics

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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.

Original language	English
Number of pages	19
Journal	Discrete and Continuous Dynamical Systems - Series B
Publication status	Accepted/In press - 3 Oct 2018

Keywords

multivalued SDES
non-Lipschitz coefficients
averaging principle
poisson random measure

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Mao-etal-DCDS-B-2018-The-averaging-method-for-multivalued-SDEs-with-jumpsAccepted author manuscript, 168 KB

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title = "The averaging method for multivalued SDEs with jumps and non-Lipschitz coefficients",

abstract = "In this paper, we study the averaging principle for multivalued SDEs with jumps and non-Lipschitz coefficients. By the Bihari{\textquoteright}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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AU - Mao, Wei

AU - Hu, Liangjian

AU - You, Surong

AU - Mao, Xuerong

PY - 2018/10/3

Y1 - 2018/10/3

N2 - 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.

AB - 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.

KW - multivalued SDES

KW - non-Lipschitz coefficients

KW - averaging principle

KW - poisson random measure

UR - http://www.aimsciences.org/journal/1531-3492

M3 - Article

JO - Discrete and Continuous Dynamical Systems - Series B

JF - Discrete and Continuous Dynamical Systems - Series B

SN - 1531-3492

ER -

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

Abstract

Keywords

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Epsrc Doctoral Training Grant | Liang, Yanfeng

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

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Projects

Epsrc Doctoral Training Grant | Liang, Yanfeng

Cite this