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arXiv · 2008.07036

Stochastic averaging for non-Lipschitz multi-valued stochastic differential equations driven by G-Brownian motion

Min Han·Bin Pei
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Abstract

In this paper, we prove the validity of an averaging principle for multi-valued stochastic differential equations (MSDEs) driven by G-Brownian motion with non-Lipschitz coefficients. The convergence theorem between the solution of the averaged MSDEs and original one was obtained in the sense of p-th moments and also in capicity. Finally, one example is presented to illustrate our theory.

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Min Han, Bin Pei. 2020-08-17. Stochastic averaging for non-Lipschitz multi-valued stochastic differential equations driven by G-Brownian motion. https://arxiv.org/abs/2008.07036

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