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• W4205300386 abstract "The main goal of this article is to study an averaging principle for a class of two-time-scale stochastic differential delay equations in which the slow-varying process includes a multiplicative fractional Brownian noise with Hurst parameter H ∈ ( 1 2 , 1 ) and the fast-varying process is a rapidly-changing diffusion. We would like to emphasize that the approach proposed in this paper is based on the fact that a stochastic integral with respect to fractional Brownian motion with Hurst parameter in ( 1 2 , 1 ) can be defined as a generalized Stieltjes integral. In particular, to prove a limit theorem for the averaging principle, we will introduce a sequence of stopping times to control the size of multiplicative fractional Brownian noise. Then, inspired by the Khasminskii's approach, an averaging principle is developed in the sense of convergence in the p -th moment uniformly in time." @default.
• W4205300386 created "2022-01-26" @default.
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• W4205300386 date "2022-06-01" @default.
• W4205300386 modified "2023-09-28" @default.
• W4205300386 title "Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: Averaging principle" @default.
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• W4205300386 doi "https://doi.org/10.1016/j.jmaa.2022.126004" @default.
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