Averaging Principle for Caputo Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion with Delays
Pengju Duan, Hao Li, Jie Li, Pei Zhang
Abstract
In this article, we investigate a class of Caputo fractional stochastic differential equations driven by fractional Brownian motion with delays. Under some novel assumptions, the averaging principle of the system is obtained. Finally, we give an example to show that the solution of Caputo fractional stochastic differential equations driven by fractional Brownian motion with delays converges to the corresponding averaged stochastic differential equation.
Topics & Concepts
Fractional Brownian motionMathematicsStochastic differential equationBrownian motionFractional calculusGeometric Brownian motionMathematical analysisMotion (physics)Differential equationClass (philosophy)Applied mathematicsDiffusion processClassical mechanicsPhysicsComputer scienceStatisticsArtificial intelligenceKnowledge managementInnovation diffusionFractional Differential Equations SolutionsNonlinear Differential Equations AnalysisStochastic processes and financial applications