On the averaging principle for SDEs driven by G-Brownian motion with non-Lipschitz coefficients

被引：0
|
作者：
Wei Mao
Bo Chen
Surong You
机构：
[1] Jiangsu Second Normal University,College of Mathematics and Information Technology
[2] Donghua Univerisity,Department of Applied Mathematics
来源：
Advances in Difference Equations | / 2021卷
关键词：
Averaging principle; Stochastic differential equations; Mean-square convergence; G-Brownian motion;
D O I：
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学科分类号：
摘要：
In 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.
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