An averaging principle for stochastic dynamical systems with Levy noise

作者：Xu, Yong^*; Duan, Jinqiao; Xu, Wei

来源：Physica D: Nonlinear Phenomena , 2011, 240(17): 1395-1401.

DOI：10.1016/j.physd.2011.06.001

• Averaging principle
• Stochastic differential equations
• Non-Gaussian Levy noise
• Convergence to the averaged system

The purpose of this paper is to establish an averaging principle for stochastic differential equations with non-Gaussian Levy noise. The solutions to stochastic systems with Levy noise can be approximated by solutions to averaged stochastic differential equations in the sense of both convergence in mean square and convergence in probability. The convergence order is also estimated in terms of noise intensity. Two examples are presented to demonstrate the applications of the averaging principle, and a numerical simulation is carried out to establish the good agreement.

• 出版日期2011-8-15
• 单位西北工业大学