Wei Liu, Xiaobin Sun, Yingchao Xie
Published 2018-09-05Version 1
In this paper we mainly investigate the averaging principle for a class of stochastic differential equations with slow and fast time-scales, where the drift coefficient in slow equation only satisfies the local Lipschitz condition. We prove that the slow component strongly converges to the solution of corresponding averaged equation, and the result is applicable to some slow-fast SDE models with polynomial coefficients.
Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay under Local Lipschitz Condition
Strong and weak convergence in the averaging principle for SDEs with Hölder coefficients
On the application of ergodic condition to averaging principle for multiscale stochastic systems
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