On the averaging principle for stochastic differential equations driven by G-Lévy process

Mingxia Yuan, Bingjun Wang and Zhiyan Yang

Statistics & Probability Letters, 2023, vol. 195, issue C

Abstract: In this paper, we investigate the averaging principle for stochastic differential equation driven by G-Lévy process. By the BDG inequality for G-stochastic calculus with respect to G-Lévy process, we show that the solution of averaged stochastic differential equation driven by G-Lévy process converges to that of the standard one, under non-Lipschitz condition, in the mean square sense and also in capacity. An example is presented to illustrate the efficiency of the obtained results.

Keywords: G-Lévy process; Averaging principle; Non-Lipschitz; Stochastic differential equation (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2023.109789

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