Averaging principle for RBDSDEs with Poisson jumps

被引：0
|
作者：
Ndiaye, Djibril [1 ]
Sagna, Yaya [1 ]
机构：
[1] Univ Cheikh Anta Diop Dakar, Fac Sci & Tech, Dept Math & Informat, Lab Math Appl LMA, BP 5005, Dakar, Senegal
来源：
RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2025年 / 33卷 / 01期
关键词：
Averaging Principle; reflected backward doubly stochastic differential equation; random Poisson measure; STOCHASTIC DIFFERENTIAL-EQUATIONS; MAXIMUM PRINCIPLE; CONTROL SYSTEMS;
D O I：
10.1515/rose-2025-2002
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper is devoted to presenting an averaging principle for reflected backward doubly stochastic differential equations with jumps (RBDSDEP in short), in which the obstacle process is right continuous with left limits. Under suitable Lipschitz conditions, it is shown that the solutions of RBDSDEP can be approximated by solutions to averaged stochastic systems in the mean-square sense and probability.
引用
收藏
页码：75 / 86
页数：12
相关论文
共 50 条
  • [41] Stability of SDE with Poisson Jumps and Markovian Switchings
    Zhang Xiaofei
    Tian Jinfang
    RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, VOLS I AND II, 2009, : 775 - 781
  • [42] Invariant Poisson Realizations and the Averaging of Dirac Structures
    Vallejo, Jose A.
    Vorobiev, Yurii
    SYMMETRY INTEGRABILITY AND GEOMETRY-METHODS AND APPLICATIONS, 2014, 10
  • [43] A discrepancy principle for Poisson data
    Bertero, M.
    Boccacci, P.
    Talenti, G.
    Zanella, R.
    Zanni, L.
    INVERSE PROBLEMS, 2010, 26 (10)
  • [44] SUBSTANTIATION OF AVERAGING PRINCIPLE FOR EVOLUTIONARY EQUATIONS
    STRYGIN, VV
    DOKLADY AKADEMII NAUK SSSR, 1969, 188 (03): : 535 - &
  • [45] Periodic averaging principle in quantum calculus
    Bohner, Martin
    Mesquita, Jaqueline G.
    JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2016, 435 (02) : 1146 - 1159
  • [46] Averaging principle for a stochastic cable equation
    Bodnarchuk, Iryna
    MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2020, 7 (04): : 449 - 467
  • [47] THE AVERAGING PRINCIPLE FOR QUASILINEAR PARABOLIC EQUATIONS
    SOBOLEVSKY, EP
    DOPOVIDI AKADEMII NAUK UKRAINSKOI RSR SERIYA A-FIZIKO-MATEMATICHNI TA TECHNICHNI NAUKI, 1985, (08): : 19 - 22
  • [48] Doubly Perturbed Neutral Diffusion Processes with Poisson Jumps
    Liu Dezhi
    DATA PROCESSING AND QUANTITATIVE ECONOMY MODELING, 2010, : 44 - 48
  • [49] EFFICIENT ESTIMATION USING THE AVERAGING PRINCIPLE
    KURBATOV, VG
    AUTOMATION AND REMOTE CONTROL, 1989, 50 (08) : 1040 - 1045
  • [50] Principle of averaging for monotone differential inclusions
    Khatskevich, VL
    DOKLADY AKADEMII NAUK, 1997, 357 (01) : 26 - 28
12345