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

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Mao, Wei and Hu, Liangjian and You, Surong and Mao, Xuerong (2019) The averaging method for multivalued SDEs with jumps and non-Lipschitz coefficients. Discrete and Continuous Dynamical Systems - Series B, 24 (9). pp. 4937-4954. ISSN 1531-3492 (https://doi.org/10.3934/dcdsb.2019039)

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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.

ORCID iDs

Mao, Wei, Hu, Liangjian, You, Surong and Mao, Xuerong ORCID logoORCID: https://orcid.org/0000-0002-6768-9864;
CORE (COnnecting REpositories)