An averaging principle for stochastic differential delay equations with fractional Brownian motion. (English) Zbl 1468.34101

Summary: An averaging principle for a class of stochastic differential delay equations (SDDEs) driven by fractional Brownian motion (fBm) with Hurst parameter in \((1 / 2, 1)\) 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.


34K33 Averaging for functional-differential equations
34K50 Stochastic functional-differential equations
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60G22 Fractional processes, including fractional Brownian motion
Full Text: DOI


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