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Stochastic averaging principle for distribution dependent stochastic differential equations
Applied Mathematics Letters, Volume: 125, Start page: 107761
Swansea University Author:
Jiang-lun Wu
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DOI (Published version): 10.1016/j.aml.2021.107761
Abstract
Due to the intrinsic link with (kinetic) nonlinear Fokker-Planck equations and many diverse applications, distribution dependent stochastic differential equations have been investigated intensively in recent years. The appearance of the probability distributions (or laws) of the random variables of...
| Published in: | Applied Mathematics Letters |
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| ISSN: | 0893-9659 |
| Published: |
Elsevier BV
2022
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| Online Access: |
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa58448 |
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| Abstract: |
Due to the intrinsic link with (kinetic) nonlinear Fokker-Planck equations and many diverse applications, distribution dependent stochastic differential equations have been investigated intensively in recent years. The appearance of the probability distributions (or laws) of the random variables of solutions in the coefficients is a distinct feature of distribution dependent stochastic differential equations. In this paper, under certain averaging conditions, we establish a stochastic averaging principle for distribution dependent stochastic differential equations. |
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| Keywords: |
Stochastic averaging principle; distribution dependent stochastic differential equations; Wasserstein distance. |
| College: |
Faculty of Science and Engineering |
| Start Page: |
107761 |