Author:
Mao Wei,Chen Bo,You Surong
Abstract
AbstractIn this paper, we aim to develop the averaging principle for stochastic differential equations driven by G-Brownian motion (G-SDEs for short) with non-Lipschitz coefficients. By the properties of G-Brownian motion and stochastic inequality, we prove that the solution of the averaged G-SDEs converges to that of the standard one in the mean-square sense and also in capacity. Finally, two examples are presented to illustrate our theory.
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Algebra and Number Theory,Analysis
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