The averaging method for multivalued SDEs with jumps and non-Lipschitz coefficients
Wei Mao, Liangjian Hu, Surong You, Xuerong Mao · Discrete and Continuous Dynamical Systems - B · 2019
In this paper, we study the averaging principle for multivalued SDEs with jumps and non-Lipschitz coefficients. By the Bihari's inequality and the properties of the concave function, we prove that the solution of averaged multivalued SDE with jumps converges to that of the standard one in the sense of mean square and also in probability. Finally, two examples are presented to illustrate our theory.