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An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian Motion

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  • Yong Xu
  • Bin Pei
  • Yongge Li

Abstract

An averaging principle for a class of stochastic differential delay equations (SDDEs) driven by fractional Brownian motion (fBm) with Hurst parameter in is considered, where stochastic integration is convolved as the path integrals. The solutions to the original SDDEs can be approximated by solutions to the corresponding averaged SDDEs in the sense of both convergence in mean square and in probability, respectively. Two examples are carried out to illustrate the proposed averaging principle.

Suggested Citation

  • Yong Xu & Bin Pei & Yongge Li, 2014. "An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian Motion," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-10, January.
    • Handle: RePEc:hin:jnlaaa:479195
    DOI: 10.1155/2014/479195
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    Cited by:

    1. Song, Wanqing & Cattani, Carlo & Chi, Chi-Hung, 2020. "Multifractional Brownian motion and quantum-behaved particle swarm optimization for short term power load forecasting: An integrated approach," Energy, Elsevier, vol. 194(C).

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