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An averaging principle for fractional stochastic differential equations with Lévy noise
Wenjing Xu1, Jinqiao Duan2, Wei Xu1
1School of Science, Northwestern Polytechnical University, Xi'an 710129, China.
Abstract:
This paper is devoted to the study of an averaging principle for fractional stochastic differential equations in Rn with Lévy motion, using an integral transform method. We obtain a time-averaged effective equation under suitable assumptions. Furthermore, we show that the solutions of the averaged equation approach the solutions of the original equation. Our results provide a better understanding for effective approximation of fractional dynamical systems with non-Gaussian Lévy noise.
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