Averaging Principle for Backward Stochastic Differential Equations driven by both standard and fractional Brownian motions | ||
| Journal of Fractional Calculus and Applications | ||
| Volume 16, Issue 2, 2025, Pages 1-13 PDF (246.11 K) | ||
| Document Type: Regular research papers | ||
| DOI: 10.21608/jfca.2025.309554.1119 | ||
| Authors | ||
| Yaya SAGNA* 1; Sadibou Aidara2; Ibrahima Faye3 | ||
| 1Laboratoire de Mathématiques Appliquées (LMA), Département de Mathématiques et Informatique, Faculté des Sciences et Technique, Université Cheikh Anta Diop, Fann, Dakar, Senega | ||
| 2LERSTAD, UFR Sciences Appliquées et de Technologie, Université Gaston Berger, Saint-Louis | ||
| 3UFR SATIC, Université Alioune Diop de Bambey, Bambey, Sénégal | ||
| Abstract | ||
| Stochastic averaging for a class of backward stochastic differential equations driven by both standard and fractional Brownian motions (SFrBSDEs in short), is investigated. An averaged SFrBSDEs for the original SFrBSDEs is proposed, and their solutions are quantitatively compared. Under some appropriate assumptions, the solutions to original systems can be approximated by the solutions to averaged stochastic systems in the sense of mean square In this paper, we study the stochastic averaging principle for backward stochastic differential equations driven by both standard and fractional Brownian motions (SFrBSDEs in short). An averaged SFrBSDEs for the original SFrBSDEs is proposed, and their solutions are quantita- tively compared. Under some appropriate assumptions, the solutions to original systems can be approximated by the solutions to averaged stochastic systems in the sense of mean square. Stochastic averaging for a class of backward stochastic differential equations driven by both standard and fractional Brownian motions (SFrBSDEs in short), is investigated. An aver- aged SFrBSDEs for the original SFrBSDEs is proposed, and their solutions are quantitatively compared. Under some appropriate assumptions, the solutions to original systems can be approximated by the solutions to averaged stochastic systems in the sense of mean square | ||
| Keywords | ||
| Averaging principle; backward stochastic differential equation; Stochastic calcu- lus; fractional Brownian motion; Chebyshev’s inequality and Itô’s representation formula | ||
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