Work

Averaging Principle for Mckean–Vlasov SDEs Driven by Multiplicative Fractional Noise With Highly Oscillatory Drift Coefficient

Year: 2025

Type: article

Abstract: ABSTRACT In this paper, we study averaging principle for a class of McKean–Vlasov stochastic differential equations (SDEs) that contain multiplicative fractional noise with Hurst parameter 1/2 and highly oscillatory drift coefficient. Here the integral corresponding to fractional Brownian motion is the generalized Riemann–Stieltjes integral. Using Khasminskii's time discretization techniques, we prove that the solution of the original system strongly converges to the solution of averaging system as the times scale goes to zero in the supremum‐ and Hölder ‐ topologies, which are sharpen existing ones in the classical McKean–Vlasov SDEs framework.

Source: Mathematical Methods in the Applied Sciences

DOI: 10.1002/mma.10880

Authors: Bin Pei, Lifang Feng, Min Han

Institutions: Northwestern Polytechnical University, Xi'an University of Finance and Economics

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze