- Previous Article
- Next Article
- Table of Contents
Applied Mathematics and Optimization, Vol.84, No.SUPPL 1, S837-S867, 2021
Strong Averaging Principle for Two-Time-Scale Stochastic McKean-Vlasov Equations
In the paper, an averaging principle problem of stochastic McKean-Vlasov equations with slow and fast time-scale is considered. Firstly, existence and uniqueness of the strong solutions of stochastic McKean-Vlasov equations with two time-scale is proved by using the Picard iteration. Secondly, we show that there exists an exponential convergence to the invariant measure for solutions of the fast equation of stochastic McKean-Vlasov equations with slow and fast time-scale. Finally, strong averaging principle for two-time-scale stochastic McKean-Vlasov equations is investigated.
Keywords:Existence and Uniqueness;Stochastic averaging principle;L-2-strong convergence;Fast-slow SDEs with jumps;Non-Lipschitz coefficients