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

Access to Document

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

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

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Projects

1 Finished

Epsrc Doctoral Training Grant | Liang, Yanfeng

Greenhalgh, D., Mao, X. & Liang, Y.

EPSRC (Engineering and Physical Sciences Research Council)

1/10/12 → 3/10/16

Project: Research Studentship - Internally Allocated

Cite this

Mao, W., Hu, L., You, S., & Mao, X. (Accepted/In press). The averaging method for multivalued SDEs with jumps and non-Lipschitz coefficients. Discrete and Continuous Dynamical Systems - Series B.

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