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Averaging principle for stochastic differential equations under a weak condition
Zhongkai Guo1, Guangying Lv2, Jinlong Wei3
1School of Mathematics and Statistics, South-Central University for Nationalities, Wuhan 430074, China.
Abstract:
The aim of this paper is to establish the averaging principle for stochastic differential equations under a general averaging condition, which is weaker than the traditional case. Under this condition, we establish an effective approximation for the solution of stochastic differential equations in mean square.
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